How might I show only the first level of an Exposed Taxonomy Filter in Views?
Add " Taxonomy: Term ID (with depth)" and set the depth to "1" it will show the first level of terms.

For Drupal 6: 

Views Taxonomy: limit exposed dropdown by term depth module provides enhanced functionality for the exposed dropdown filter for taxonomy terms in Views.


  Exposed term filters can already be limited to display only terms
  selected in the Views interface. But what if content creators add new
  taxonomy terms? They will have to navigate the Views interface and add
  these new terms to the list of terms shown by exposed filters.