Macbeth's first line reiterates the paradox introduced by the witches in the first scene. They chant, "Fair is foul and foul is fair/Hover through the fog and filthy air." This paradox illuminates the theme that things that seem to be good or desirable may be evil and vice versa. Furthermore it may be nearly impossible to tell which is fair and which is foul at first, or even second, glance.
Macbeth's first line, "So foul and fair a day I have not seen" refers to their victory in battle (fair) but the miserable weather they must travel through (foul). Of course this paradox seems obviously true at first, but upon deeper examination, we see that Macbeth will soon come into some amazingly good news via the witches' prophecies. However, the audience soon learns, as Macbeth does later, that these prophecies and their bearers are really quite foul.