Why Are We Here? is the first episode of Red vs. Blue to have dialoug. The real first episode however is episode 0, The Cast.
A maroon colored spartan named Simmons asks an orange colored spartan "do you ever wonder why we are here?" and Grif thinks he means on this planet, but he really means in the canyon and says that the only reason they are here is because they are here, and they are here because they are there. And Sarge then calls them up for an announcement.