Dean Esmay has an interesting post on memorable first lines of novels, and provides 15 of his favorites. He then invites his readers to guess the novels, and suggest their own favorites. Most of the ones that I can recall immediately were already in the list, but this was not:
Last night I dreamed I went to Manderlay.
The answer can be found in the extended entry.
HINT: Think Hitchcock.
The book is Rebecca, by Daphne Du Maurier.
Alfred Hitchcock directed the first (and definitive) version of the movie, with Laurence Olivier, Joan Fontaine, and Judith Anderson.