It depends on what angle you want to portray. (Basically I'm saying what everyone else has already said.)
An example of a very good story written in first person is "Crown Duel" by Sherwood Smith. It's written in such a way that you can "see" more of the story, at least more of the main character, than she herself does, but she is still only telling you her own thoughts and feelings. It's hard to explain, so you just have to read it.
It's a good read, especially if you like somewhat humorous mildly romantic fantasy.
You have to be a really good writer to effectively pull off first person, in my opinion.