“Nothing is certain—that is the first lesson.”

Student Loans
1980s–1990s, Is Reality Optional? (1993)
Source: Is Reality Optional?: And Other Essays

Robert Rosen (2013), Essays on Life Itself Chapter 18

A close paraphrase of this (beginning "Do not use...") is repeated in a commencement address at Cloves Hall, 27 April 2007, as reprinted in Armageddon in Retrospect
A Man Without a Country (2005)

Source: How to Be Alone

“They do.”
Source: Earthsea Books, The Farthest Shore (1972), Chapter 9, "Orm Embar" (Ged and Arren)

Conversations with Einstein by Alexander Moszkowski (1971), p. 69 http://books.google.com/books?id=_D3wAAAAIAAJ&q=%22first+lessons+should+contain+nothing+but+what%22#search_anchor. This is just Moszkowski's English translation of a statement he attributed to Einstein in his 1922 book Einstein, Einblicke in seine Gedankenwelt, p. 77 http://books.google.com/books?id=6zHPAAAAMAAJ&pg=PA77#v=onepage&q&f=false: "Was die Physik betrifft, fuhr Einstein fort, so darf für den ersten Unterricht gar nichts in Frage kommen, als das Experimentelle, anschaulich-Interessante. Ein hübsches Experiment ist schon an sich oft wertvoller, als zwanzig in der Gedankenretorte entwickelte Formeln." As Moszkowski makes clear in the original German text, this "quotation" is a paraphrasing of his conversation with Einstein.
Attributed in posthumous publications

April 18
Quotes from Daily Negations (2007)

Source: The Lovely Bones