Usually, does the loud sound of a metronome indicate the first note to play or the last one ?
Typically, a the loud click/bell is used to indicate the first beat of the bar. In 4/4 it would go 'loud, soft, soft, soft' and keep repeating. In 3/4 it would go, 'loud, soft, soft'. But not all music starts on the first beat of the bar. For example, Happy Birthday To You starts with an anacrusis or pick up notes on the third beat of the 3/4 bar, so you would wait for 'loud, soft' and start on the next click (which will be 'soft') with 'ha-ppy'. 'Birth-' will be on the loud click/bell that starts the next bar.
As Areel says, the loud click is usually deemed to indicate the first beat of each bar. But your question asks about the first note to play. That is often not the same place as the first beat of a bar - and the same applies to the last note you play. (Which actually is more likely to be on beat 1).
Going a bit further, that loud click doesn't necessarily have to be the first beat. It's quite fun to imagine any click to actually be the offbeat, or the & between the beats. So you could use the loud click to be anything you want - although most people, especially beginners, will regard it as beat 1.
You are perfectly free to choose, whatever seems appropriate, since the metronome is completely neutral in this respect.
Two items to consider:
- Most electronic metronomes have a setting, where they don't distinguish between special/other beats. The distinction is most important anyway, when starting with a new piece, to ensure one stays in the tempo. So one may be drop it later.
- When dealing with syncopations it is sometimes suggested, to have the sounds in the middle of the beats to indicate the transition to the next note instead.