As with the opening scene of every play ever written, the opening scene of Shakespeare's The Merchant of Venice establishes "the world of the play."
The scene introduces two of the major characters, Antonio and Bassanio. In fact, Antonio—the merchant of Venice of the title—is the first character to speak in the play. Antonio's first words, "In sooth, I know not why I am so sad" (1.1.1), tell the audience that the play will be involved with personal and local issues.
Salerio attempts to widen the scope of the play—"Your mind is tossing on the ocean" (1.1.8)—but Antonio brings the play back to the here and now.
ANTONIO. Believe me, no; I thank my fortune for it,
My ventures are not in one bottom trusted,
Nor to one place; nor is my whole estate
Upon the fortune of this present year:
Therefore my merchandise makes me not sad... (1.1.42–46)
Six characters appear in the first scene, all of whom appear to know each other quite well. It's clear that Antonio is a central character, but even so, the scene shows an interdependence between and among many of the characters that's carried throughout the play.
Interestingly, Shakespeare introduces a character named Lorenzo in this scene, but Lorenzo appears to be nothing more than a person who facilitates Bassanio's entrance into the scene. Lorenzo isn't needed in this scene, and he serves no apparent purpose.
This belies Lorenzo's future importance as a character who becomes involved in a subplot with Shylock's daughter, Jessica. Interesting, however, is the fact that Lorenzo isn't mentioned again until act 2, scene 3, and he doesn't reappear in the play until act 2, scene 4.
The opening of the first scene also imparts an underlying sense of uncertainty and foreboding. Something is bothering Antonio. It's not his ships at sea, as Salerio suggests, nor is that Antonio is in love, as Salanio believes. Whatever is bothering Antonio remains an unanswered question throughout the scene and into the rest of the play.
When everyone except Antonio and Bassanio exits the scene, Shakespeare jumps straight into the exposition of the play with a question from Antonio to Bassanio that seems to come out of nowhere.
ANTONIO. Well; tell me now, what lady is the same
To whom you swore a secret pilgrimage,
That you to-day promis'd to tell me of? (1.1.124–126).
Shakespeare might well have used these lines to open the play, but he chose instead to use the first 123 lines of the play to establish the world of the play and to set the scene for this question.
Bassanio doesn't actually answer Antonio's question for another forty lines, but Shakespeare uses these forty lines to establish that there's a very strong relationship between Antonio and Bassanio, and to lay the groundwork for the main plot: Bassanio needs money, and Antonio—who is short of cash right now—offers to borrow money on Bassanio's behalf.
Shakespeare also introduces a major subplot—the reason why Bassanio needs the money is to woo a woman for his wife—and brings another major character into the play not in person, but through Bassanio's effusive description of her.
BASSANIO. In Belmont is a lady richly left,
And she is fair, and, fairer than that word,
Of wondrous virtues. Sometimes from her eyes
I did receive fair speechless messages:
Her name is Portia; nothing undervalued
To Cato's daughter, Brutus' Portia.
Nor is the wide world ignorant of her worth;
For the four winds blow in from every coast
Renowned suitors, and her sunny locks
Hang on her temples like a golden fleece;
Which makes her seat of Belmont, Colchos' strand,
And many Jasons come in quest of her (1.1.166–177).
The audience is anxious to see this wondrous person, who appears about two minutes later in the next scene.