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The First Ones are the ancient alien races of the galaxy, the first organisms to achieve sentience and the first to become spacefaring. Of these races, Lorien's was the first, with Lorien himself being the first among them. They were followed by the Shadows, who were discovered and taught by Lorien's people. Other races also appeared, among them the Vorlons, the Walkers at Sigma 957, and others. Together they achieved great enlightenment and technological advancement. Over time, however, many of these races left the galaxy, some dying out, others heading beyond the galactic rim into the void of intergalactic space. Of the few who stayed behind, most remained for reasons known only to them, but of these remaining races, two would be charged with the guardianship of the younger races (the Minbari, Narn, Centauri, Humans and others). These two are the Vorlons and the Shadows. The others after the Great War 10,000 years ago remained in isolation and allowed only Lorien to visit.
Over the millennia, the Vorlons and the Shadows became engaged in a war over their different philosophies. The Vorlons believed that the best way to teach the younger races was through order, law, and discipline, while the Shadows believed that the best path to teaching younger races lay through chaos, conflict, and strife. So embroiled did these two races become, so involved in their own conflict over their philosophies that they themselves lost their way, setting up an endless cycle of wars in which the younger races were pitted against each other as pawns.
Besides the Vorlons and Shadows, there were other members of the First Ones in the galaxy. The first human sighting of one of these races occurred in 2258 when the survey ship Skydancer piloted by Catherine Sakai encountered a strange alien ship while investigating the planet Sigma 957. With the outbreak of the Shadow War in 2260, it was decided that it would be in the interests of those fighting the Shadows to seek out assistance of these remaining races. In 2260, a White Star commanded by Commander Ivanova and Ranger Marcus Cole made contact with the Walkers of Sigma 957. Though initially turned down in their request for assistance, Ivanova was able to goad the Walkers into agreeing to provide assistance in the upcoming Shadow War when the time was right.
Later, in 2261, after the Vorlons began their involvement in the war, Ivanova, with Lorien's assistance, managed to make contact with all of the remaining First Ones in the galaxy. She had them rendezvous with the allied forces at Coriana 6, where they destroyed the Vorlon planet killer in the ensuing battle. Besides the Walkers, the other four ships were the Kirishiac Lordship, Thoughtforce, the Triumviron, and the Dark Knife. At this point, the Vorlons and the Shadows made one last attempt to bend the younger races to their respective wills by telling Sheridan and Delenn their sides of the story. Unbeknownst to the two belligerents, however, Lorien broadcast these conversations to the entire assembled fleet of the younger races, whereupon the secret was out: The Vorlons and the Shadows, guardians of the younger races and representatives of the First Ones, had largely failed in their task by becoming consumed in their own fight to be the "right" race. This in turn led the younger races to reject both the Vorlons and the Shadows, and pointedly request the two older races to leave them alone.
At this point, Lorien said it was finally time for the remaining First Ones to leave the galaxy and join the other First Ones beyond the Rim. The Vorlons and Shadows both decided to leave, and the other First Ones went with them, including Lorien himself. From then on, the younger races were alone in the galaxy, to make their own way in their evolution. After that, only Lorien returned to the galaxy, once, in 2281 to take Sheridan with him beyond the Rim. Sheridan's body disappeared and was never recovered. After this, the First Ones were never seen again inside the galaxy.
Further information on the First Ones was created for an Agents of Gaming RPG supplement. The supplement, War of the Ancients, identified more of the First Ones: the transcendent Triad (who are second only to Lorien), the telepathic Mindriders, the gambling Torvalus, the ever seeking Walkers of Sigma 957 and the bloodthirsty Kirishiac Lords.
More information on this expanded universe is also contained in Mongoose Publishing RPG book Darkness and Light.