As far as 4th Edition goes, it's good DMing to shoehorn a little combat into the first session of a new adventure. It breaks up the exposition, provides a bit of early catharsis, and lets players really get physical with an unfamiliar environment.
Sometimes it works better than others, though. The "Into The Mountain" encounter at the start of Thunderspire Labyrinth feels clunky, hurried, and awkward. On top of which, just finding the encounter is a quest in itself.
The encounter takes place in the context of the players' arrival at Thunderspire Mountain. After passing through the Minotaur Gate, the PCs find themselves on the Road of Lanterns, a 30-foot wide tunnel hewn out of the mountain flanked by rows of sculpted demons holding everburning lanterns. This is the central trade route into the mountain from the surface world, and the impression is less that players are about to plumb the festering depths of the Underdark than that they are approaching something grand and wondrous - which indeed they are, providing you can make the Seven-Pillared Hall live up to its potential.
It's not clear where "Into the Mountain" is supposed to take place. The encounter description has it happening "once the adventurers enter the mountain passage" or "a short distance from the Seven-Pillared Hall". The hobgoblins in the encounter "stay near the Seven-Pillared Hall", and yet are only "a short way into the mountain". It sounds like something our handy-dandy map of the Labyrinth could fix; unfortunately cartographer and writer don't seem to have been working hand-in-hand, as the map shows the encounter beyond the Hall, requiring players to have already visited the quest hub before arriving at this destination.
It almost seems as if the module-writers are deliberately trying to hide this encounter. Not only is it geographically vague, but however you look at it, it's off the beaten path. It takes place in a room that runs off a side-passage which itself runs off the main path to the Seven-Pillared Hall. The only indication to players that there's something here they might want to investigate is a distant trickle of light from the room's open door.
Let's assume players find the encounter. Let's assume they get involved. What they have here is the chance to make an ally. Rendil Halfmoon, a halfling inhabitant of the Seven-Pillared Hall, is being menaced by a group of the very Bloodreaver Slavers the party happen to be looking for. Being the merciless doers-of-good that they are, the players will naturally come to Rendil's defence and kick some hobgoblin butt up and down the mountain.
This isn't a terribly tough battle, although it does include one of those Hobgoblin Warcasters that I love so much. In the dull terrain here he doesn't get a chance to shine, but it's a quick reminder to players what the hobs are capable of before they tackle them later in the first of Thunderspire's mini-dungeons. The Warcaster's also, for the purposes of this encounter, the voice of the Bloodreavers, and the module encourages the DM to use to him to really get on the players' bad side. If the players weren't already on board for a kind of anti-slaver crusade, this is another chance to get a feud going between them and the hobgoblins.
The room's tactically uninteresting. There's a range of tables and barrels that can be kicked over or stood on, but there's little real advantage in these tactics and in the end result the room just feels cramped and awkward.
The whole thing ends with the hobgobglins beaten and a greatful Rendil offering the players accomodation at the Seven-Pillared Hall. It gives the players a guide to what's on offer in the mountain, and puts a friendly face on an upcoming quest-hub that ultimately has more ne'er-do-wells than genuine allies.
 Why is this encounter so confusingly tucked away? The Road of Lanterns is a great location. It's dramatic, and open enough to be interesting. Wouldn't it have been easier to set the encounter on the Road itself, possibly with the hobs assaulting a wrecked wagon belonging to Rendil?
 The encounter specifies players can overhear a conversation between Rendil and the hobgoblins if they make a DC 10 Perception check. This is less than players' passive perception (which at level 4 is at a minimum of 11), and as such is an auto-success - they don't even have to roll. Is this a typographical error, or does it date back to an earlier prototype of the rules than that eventually published?