Which were the first states to consider secession? What were their reasons?

This depends on what time frame you're talking about.

Serious talk of secession goes as far back as the War of 1812.  Towards the end of that war, New England states met in what was known as the Hartford Convention to discuss seceding because of US involvement in this war.  They thought it hurt them more than any other part of the US and benefitted them less.

The next time secession came up, it was South Carolina that led the way.  This came about because of the "Tariff of Abominations" of 1828.  The South felt that the tariff hurt them (because they depended on imports and exports) and helped the North (because they were much more self-contianed economically) and argued that they might as well secede if such laws could be passed.

At the time of the Civil War, South Carolina was, once again, first to go after Lincoln's election convinced them (and other states) that the South would be ignored (at best) by his government.