Very interesting question. Sure we can look at the first appearances of comics heroes, but we can actually take this a little deeper as well. While we can ask who Supes fought in his first issue, we can also look at older mythologies that these comics are inspired by.
It seems that most ancient myths start with the creation of the world by a being, or beings of some higher power. After creating the world, these gods created existence as we saw it back then. Somewhere along the way one or all of those who were in the higher power got jealous, and they started to create havoc. It was then that a hero(or heroes) would rise to defeat this new villain, and stories about that hero(es) would be told throughout generations.
When we examine this it is easy to say that the hero came first, because usually the hero would be an already established character. Whether it be Zeus or God, the hero was there around the time of the beginning when the villain was still one of the "good guys." Here's where things start to get more subjective. Does what the hero did before defeating the villain count as heroism? Does creating the world count as an heroic act? If you believe so, then the hero came before the villain. I personally believe that the villain came first, because without a villain there would be no hero. Creating existence and fighting against nature is not heroic in my mind. It's something to commend, but I don't see nature as a villain. God creating the earth in the Abrahamic religions is not heroic to me, it's when he foils Satan from fully corrupting mankind is when he became a hero. When he did that he was saving people from harm, and that's what heroes do in my definition of the term.
