People love seeing their own name. It makes them feel is if the email was written to them personally and not sent to thousands. Online services have simple options to directly insert names from your contact database using a template editor.
(Source: Selling Power, Seven Ways to Improve Your Email Response)
There’s much more into this than simply adding a first name. Think about all the data scrubbing you have to do to ensure your list(s) have the correct first name. Then, think about the content itself – does it actually make sense to use their first name? And, how do you use their first name? (ie, Hey FNAME or Hi FNAME or FNAME?).