According to LDS (Mormon) teaching, who was the first God who began the eternal progression? I understand that the LDS church teaches the concept of eternal progression, that "As God is, so man can become and as man is, so God once was."  So, men may attain godhood in exaltation.

By implication, God the Father was once a man Himself on another planet where there was another god and attained to godhood Himself through his life on that planet.

So, my question is, according to LDS teaching, who was the first God who began all this--the uncreated God, since all other gods, including God the Father would have been born spiritually through a spiritual union between the god of the previous planet and one of his wives.

Also, is there any worship given in the LDS Church to this first God?
The Mormon doctrine states that creation has always been in existence.  As such, we can't presume that there was a beginning.
Because of this, there wasn't a first God, but an endless succession prior to the one true God.
Brigham Young once stated:

How many Gods there are, I do not know. But there never was a time when there were not Gods...
Brigham Young (Journal of Discourses 7:333)

Furthermore, LDS Apostle Orson Pratt stated:

We were begotten by our Father in Heaven; the person of our Father in Heaven was begotten on a previous heavenly world by His Father; and again, He was begotten by a still more ancient Father, and so one, from one generation to generation
LDS Apostle Orson Pratt (The Seer, pg. 132)

(It should be noted that the Orson Pratt writings were later discounted by the LDS church and shouldn't be taken as doctrine.  Still, it elucidates the point.)
Summary
Essentially, since there was no beginning, there was no &quot;first&quot;.  Therefore, there was no &quot;first God&quot; in regards to the eternal progression.  The universe, being eternal, has always been around.  The progression of Gods has likewise been eternal.