Slice of life is a genre built upon the quality of its characters. With the focus on showing the viewer the intimate portions of the daily life of a group of characters, you would think that proper cast introductions would be at the forefront of the first episode "things to do" list. That's not always the case, as many series seem to want to throw you directly into the mix without any sort of "who's who".
Two of the biggest offenders of "directly into the mix" are Lucky Star and Hidamari Sketch. Both begin with a characters that are well acquainted with one another, and no effort is made to familiarize them with the new kid in town (you, the viewer). Here, the first episodes leave you -- or at least me -- with little to define each character by. The characters failed to stick until later episodes, once I had gotten quite used to them.
Azumanga Daioh and Strawberry Marshmallow handle the first episode as it should be. Azumanga episode 01 contains various skits, each of which highlight a certain cast member and flesh out a small, distinguishable portion of their character. Marshmallow takes a more direct approach, with the elder sister literally introducing each cast member to the audience as they appear.
This method assures the viewer can pick up on the characters right from the get go. The "directly into the mix" method feels ambiguous at first, as the cast takes a while to sink in. While that hardly ruins a show, it certainly gets it off to a weaker start. And while some will say that the second method seems too obvious and shallow, I retort that a good cast may be easily defined, but still contains deep idiosyncrasies that come out over time.
On a final note, if you want to get real creative with introductions, the best example I can come up with is Haruhi Suzumiya. If you haven't rewatched that infamous first episode after seeing the entire series, do yourself a favor and do so. You'll smile at what they did there. Slick.