I dare you to pick up any book released as a major publication and check out the first page or two. I can guarantee you they'll include the following.
The 5 W's: Who, Where, When, What and Why
Obviously there's a limit to exactly how much ground you can cover in 500 words. But don't underestimate the power of that first page. Pick up any novel that 'hooked' you from very beginning and you'll find at least three of those W's present probably as early as the first paragraph. Maybe even the first sentence.
They're fairly self-explanatory, so I won't spend a lot of time:
WHO: Whose skin am I in?
WHERE: Physical location and setting.
WHEN: World-building is a HUGE component in those first words, so consider at least giving the time of day and a hint at the time / space continuem. Maybe you can offer the season by painting a picture of the leaves (or lack thereof). Whatever. Just keep in mind, the more information your reader absorbs without realizing it, the more fixed in the world they'll feel.
WHAT: Could be as simple as whether they're driving, walking, talking, etc, or it could be (and hopefully will be) as engaging as placing the focal character on the frontline of a war, or engaged in making out with their hot boyfriend / girlfriend. Wherever they are, make sure they're DOING something.
WHY: This won't always be clear in the first pages, but make sure you don't leave the reader hanging completely. If you can't offer the story question on the first page, then at least give the character a goal or intent. Have them aiming for something the reader can shoot for too (even if they don't know exactly why at this early stage).
Simple? Great. Let's move on.
TROUBLE: Creating Danger and / or Presenting a Problem
This one sounds simple, but in my experience its one of those blind-spots for us novice authors. We feel the tension, trouble or implications of a situation for our focal characters because we KNOW the story.
Fresh eyes though? Sometimes it's not as clear to them.
I'm not suggesting you should spell out t-r-o-u-b-l-e, but find a way to introduce change that threatens the life, livelihood or eternal happiness of your character and your reader will read on to find out whether they're going to overcome this terrible problem.
There's more, but those are the most important, I think. Now, go forth and write!
Your Turn: What else is crucial for those first 500 words, in your opinion?