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The First is the only big bad who was not officially killed off in the series because as the essence of evil it is an incorporeal being that cannot be physically harmed.
The First can take on the form of anyone who has passed away. It has followers called "Harbingers" or "Bringers". It first appeared in the season three episode " Amends ", where it tried to destroy Angel by appearing in the forms of his past victims.
The Buffy the Vampire Slayer video game "Chaos Bleeds" took place in a section of season five after Joyce (Buffy's mom) died, The First and Ethan Rayne, played a sick and twisted game with the Scoobies. It revealed he was an enemy of Sid the Dummy and possessed his own dimension. He was weak against a weapon belonging to Angel's predecessor as the Champion, Cassandra Rayne, called Hope's Dagger. At the end, Buffy thought she diffused the First's molecules accross multiple dimensions, beleiving it'd be centuries before The First returned (try two years). It was stated, that The First could not be defeated as long as evil itself existed.
Throughout season seven, The First Evil tried to destroy the Slayer lineage. With the resurrection of Buffy, The First Evil gained the opportunity to finally rid the world of the vampire slayer for good. Since it is incorporeal, The First gains its power by corrupting people. In season seven, it manages to successfully induce Andrew to kill Jonathan in order to open the Seal of Dazanthar and inspire Spike to once again kill humans. The First also attempts to break up Buffy's team by appearing as Mayor Wilkins to Faith, Joyce to Dawn, and Cassie Newton to Willow.
In the end, Buffy, the Scooby Gang, and her army of potentials destroy The First's Turok-han army, which essentially leaves The First powerless to cause any destruction. However, it can never be destroyed because it is the essence of evil, the thing that causes evil in the world.
Some plans for the hypothetical eighth season of Buffy called for the First Evil to be made corporeal.