Right in the beginning of this novel, the author sets the stage for what is to come. First of all, we learn that it is set in the South. Then we learn that the reason Scout's and Jem's ancestors came to the South was to avoid persecution of Methodists:
In England, Simon was irritated by the persecution of those who called themselves Methodists at the hands of their more liberal brethren, and as Simon called himself a Methodist, he worked his way across the Atlantic to Philadelphia, thence to Jamaica, thence to Mobile, and up the Saint Stephens.
This is foreshadowing the "persecution" that is to take place in the novel.
We also learn that Maycomb is an old town, and we infer that the people are no doubt set in their ways:
Maycomb was an old town, but it was a tired old town when I first knew it.
Also, we learn that the novel takes place before the Civil Rights movement, so we get the idea that the attitude of prejudice is going to be involved:
People moved slowly then. They ambled across the square, shuffled in and out of the stores around it, took their time about everything. A day was twenty-four hours long but seemed longer. There was no hurry, for there was nowhere to go, nothing to buy and no money to buy it with, nothing to see outside the boundaries of Maycomb County. But it was a time of vague optimism for some of the people: Maycomb County had recently been told that it had nothing to fear but fear itself.
"Nothing to fear but fear itself" was a quote from Franklin Roosevelt in his first inaugeral address in 1932, so this was before World War II.
We also learn attitudes about the characters. We see that the story is to take place when Scout and Jem were children. We learn that Scout is the narrator, and that the novel is a flashback. We learn that Scout and Jem lost their mother when they were young and that their father, Atticus, is a respected attorney:
He liked Maycomb, he was Maycomb County born and bred; he knew his people, they knew him, and because of Simon Finch's industry, Atticus was related by blood or marriage to nearly every family in the town.
All of this will figure into the plot later on.
Finally, we also learn the children's attitude toward Boo Radley, who we know will also figure into the plot in a major way. Boo is the mockingbird:
But by the end of August our repertoire was vapid from countless reproductions, and it was then that Dill gave us the idea of making Boo Radley come out.
Did you know that Harper Lee rewrote this novel many times? It is truly evident in this first chapter, especially, because with wonderfully tight, but compelling writing, she sets the stage for the entire story that she begins to unfold.
Check it out further here on enotes.