For me the first day is always the worst.
My first challenge is arriving on time (should London transport permit) without getting lost. I often get confused between agencies in the same area and not realise I am going the wrong way from the station, until it's too late.
First impression: this is an intern who clearly has no sense of direction, looks flustered after walking for ten minutes in the cold, and clearly isn't suited to Mondays (which I am not). First impressions are so important, yet being a person who takes a while to warm to others, and whom people often don't understand at first, I rarely feel at home until about 3 weeks in, that's if I'm lucky enough to be on an internship that lasts that long.
I then spend the rest of my day familiarising myself with the all too familiar Shared Server, which for every agency is different and yet startlingly the same; it's hard the remember the differences when you're rushing to save a document. With designers being so anal, you know they'll despise you if you leave it on the desktop, or put the job number in wrong. I am yet to be confronted about this though, so perhaps this is one of my talents.
On a serious note, though, the first day is hard because it is a reminder that I am unsettled.
I haven't found my design home yet. In a few weeks, I'll be at another agency and then palmed off onto another after that. I don't belong anywhere. The only career I can think to compare it to is that of a whore. Although her moments of contact with people are more passionate and intense than that of an intern's.
It is nice to meet so many new people and I do love a good chat, but you know that they won't remember you and the likelihood is this relationship won't last longer than the placement itself. It accentuates one of the sad facts of life; that most of the people you meet are just passing acquaintances and you probably won't see them again.
With internships, by not being asked to stay on, it feels like a form of rejection. You have had your few weeks (or days!) to prove yourself and you haven't, so... onto the next one. With many agencies churning out interns like tinned beans from a factory, you don't feel that important. Each rejection knocks away at your self confidence and will continue doing so until an agency wants to keep you. Until then, it's back on the shelf.