A list of the issues in which some major X-Men characters first appeared...
Angel / Archangel - (Uncanny) X-Men #1
Banshee - (Uncanny) X-Men #28
Beast - (Uncanny) X-Men #1
Bishop - Uncanny X-Men #282
Cable - New Mutants #87
The Changeling - (Uncanny) X-Men #35
Colossus - (Giant Size) X-Men #1
Cyclops - (Uncanny) X-Men #1
Dazzler - Uncanny X-Men #130
Forge - Uncanny X-Men #184
Gambit - Uncanny X-Men #266
Havok - (Uncanny) X-Men #54
Iceman - (Uncanny) X-Men #1
Jean Grey - (Uncanny) X-Men #1
Jubilee - Uncanny X-Men #244
Longshot - Longshot Limited Series #1
Magneto - (Uncanny) X-Men #1
The Mimic - (Uncanny) X-Men #19
Mr. Sinister - Uncanny X-Men #221
Nightcrawler - (Giant Size) X-Men #1
Phoenix II - Uncanny X-Men #141
Polaris - (Uncanny) X-Men #49
Professor X - (Uncanny) X-Men #1
Psylocke - New Mutants Annual #2
Rogue - Avengers Annual #10
Sabretooth - Iron Fist #4
Shadowcat - Uncanny X-Men #129
Storm - (Giant Size) X-Men #1
Sunfire - (Uncanny) X-Men #64
Thunderbird - (Giant Size) X-Men #1
Wolverine - Incredible Hulk #180
Jeez, that took me ages - feel free to add more...