SQL Server Error, "Invalid usage of the option FIRST in the FETCH statement."

SQL Server has implemented the OFFSET and FETCH clauses as part of the ORDER BY clause, as pointed by the other answers and documented in their documentation.

The SQL standard on the other side, has both of these clauses as independent:

<query expression> ::=
[ <with clause> ] <query expression body>
[ <order by clause> ] [ <result offset clause> ] [ <fetch first clause> ]

If someone wants this feature implemented in full compliance with the standard, they can always make a request to the SQL Server team, through the Connect channel. In fact, MS has commented - in a different request about offset and fetch:

Connect item: SQL Denali: add total rows counter to SELECT statement - by Alexey Rokhin

Answer: Posted by Microsoft on 24/11/2010 at 11:34

The requirement that OFFSET/FETCH requires ORDER BY is a restriction in this release. In the ANSI SQL standard (SQL:2011) where the new OFFSET/FETCH clauses are proposed, ORDER BY is optional. The restriction in SQL Server has to do with limitation in our parser technology that cannot handle the optional syntax without making OFFSET a reserved keyword. We may remove it in the future.

Now with respect to ...

Until then, if one wants to use OFFSET and FETCH without a specific ORDER BY, a workaround is to add a "do nothing" order by clause. Example:

SELECT 
...
ORDER BY (SELECT NULL)
OFFSET 0 ROWS
FETCH NEXT 1 ROWS ONLY;

As stated at the very top of the documentation on OFFSET..FETCH

The OFFSET-FETCH clause provides you with an option to fetch only a window or page of results from the result set. OFFSET-FETCH can be used only with the ORDER BY clause.

...

ORDER BY is mandatory to use OFFSET and FETCH clause.

So,

SELECT *
FROM ( VALUES (1),(2),(3) ) AS t(x)
ORDER BY t.[x]  /* <-- ADD ME TO BE HAPPY */
OFFSET 0 ROWS
FETCH NEXT 1 ROWS ONLY;

Not all that practical for a simple LIMIT if that's what you're going for you'll want to stick with TOP.

According to the reference, the OFFSET clause is part of ORDER BY in SQL Server. You'll also need to add the ROWS keyword after the OFFSET specification:

SELECT *
FROM ( VALUES (1),(2),(3) ) AS t(x)
ORDER BY x
OFFSET 0 ROWS
FETCH FIRST 1 ROWS ONLY;