Primitive Pythagorean Triples
Jelly, 27 25 bytes
2 bytes thanks to Jonathan Allan.
²IH;Pµ;ÆḊ
+2ḶḤ‘Œcg/ÐṂÇ€Ṣḣ

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Outputs the first n 1-indexed triples [b, a, c], sorted by increasing b and then a.
Uses the algorithm from Wikipedia:

This generates all primitive triples for all unique coprime pairs of odd integers m &gt; n &gt; 0.
Explanation
+2ḶḤ‘Œcg/ÐṂÇ€Ṣḣ    Main link. Argument: n
+2                   Add 2 to n, to get enough results.
  Ḷ                  Get integers [0, 1, ..., n+1].
   Ḥ                 Double to get [0, 2, ..., 2n+2].
    ‘                Increment to get [1, 3, ..., 2n+3].
     Œc              Get all ordered pairs [[1, 3], [1, 5], ..., [2n+1, 2n+3]].
       g/            GCD of each pair.
         ÐṂ          Grab the pairs with minimal GCD (which is 1).
           Ç€        Call the helper link on each pair to get the triples.
             Ṣ       Sort the triples first by a, then by b, then by c.
              ḣ      Get the last n.

²IH;Pµ;ÆḊ    Helper link. Argument: pair [m, n]
²              Square to get [m², n²].
 I             Increments: get [m²-n²].
  H            Halve: get [(m²-n²)/2], i.e. [b].
    P          Product: get mn, i.e. a.
   ;           Append to get [b, a].
     µ         Begin a new monadic chain with argument [b, a].
       ÆḊ      Get the length of the vector, i.e. c.
      ;        Append to get [b, a, c].