How to Get the First Row per Group in PostgreSQL

Let's say we have an events table that belongs to a user_id, and we want to see the first event for each user for that day. The function we need here is row_number. It's got a tricky syntax that I always forget. Here's an example PostgreSQL query:

select
  *,
  row_number() over (partition by user_id order by created_at desc) as row_number
from events
where day = '2018-01-01'::date

This gives us all the event IDs for the day, plus their row_number. Since we only want the first event for the day, we only want rows that have row_number: 1. To do that, we can use a common table expression:

with _events as (
  select
    *,
    row_number() over (partition by user_id order by created_at desc) as row_number
  from events
  where day = '2018-01-01'::date
)

select *
from _events
where row_number = 1