"Tell it to me first."
Is this sentence correct, or should the sentence be "Tell me first"?
Any use of the pronoun "it" requires an appreciation of its definition:
"used to refer to a thing previously mentioned or easily identified".
If you are asking someone to tell you something then it is fair to say you both must know what you are referring to, so let's take it as a given that you are asking to be told something "previously mentioned". Neither of your requests would make sense if the other party had no clue what you were talking about.
The thing to consider is if you are asking to hear about something "clearly identified". "It" refers to one singular thing. For example, you could ask someone to tell you a story, or a joke. You can count stories and jokes, and you can refer to one as "it", eg:
-"I've got a joke"
-"Tell it to me!"
It would not be correct to say "tell it to me" when referring to something plural, or "collected", for example:
-"I've just heard the details of the merger"
You can't refer to "details" as "it", because it is a plural noun, ie there is more than one detail. You could say "tell them to me", but that may not be idiomatic as some plural nouns are used as "collective" terms and you do not expect to count the items within. "Details" usually means "all the information" about something and is not necessarily something you bullet-point and count, so in this instance "tell me" is the most idiomatic response.