“Good beginnings raise questions and make the reader care. It’s the not-knowing and the caring that keep her turning the pages.” -- Marshall Cook in Advanced Fiction (a writing course)Yes, a story needs to capture the reader’s attention from the first sentence/paragraph/page/chapter (depending on the length of the work). More importantly, the story needs to start at the beginning. “Huh?” you say. I read three short stories this week that didn’t start at the true beginning.
In one case, the author attempted to paint a unique picture of a character that didn’t work for me. I stated in my critique my issue was most likely “a guy thing.” The second paragraph continued setting the scene and ended with the mention of the name of someone the main character was waiting for, leaving me wondering who he was and why he was important to the story. This mention introduced the conflict and provided the "not-knowing" that kept me reading. By the way, omitting the first paragraph didn't leave a hole in the story.
A second piece opened with two women having a conversation in a kitchen. The only important information provided, as far as I was concerned, was that the main character was recently divorced. The conversation itself was unremarkable. The real story began in the next scene with one of the woman sitting alone in a French bistro--and no mention of divorce. Holding back that one piece of information, the “not-knowing” why she was alone, made me keep reading.
Steve Almond said in an article (of course, I can't find it at the moment) that if a character knows something, the reader should know it, too. He didn’t say the reader had to know everything from the start. Often, holding back a piece of information creates the “not-knowing” that keeps the reader interested. However, it’s not fair to the reader to withhold the information permanently. By the end of the story, the author needs to give it up. At least, that’s the way I see it.