What Evidence Do We Have For the First Mammal?
Obviously, it's impossible to point to "the" earliest mammal; dividing lines are pretty much arbitrary. However, a reasonable representative of a very early mammal or very late mammaliaform is Arboroharamiya jenkinsi, described in A new arboreal haramiyid shows the diversity of crown mammals in the Jurassic period, from roughly 155-160 million years ago.  That shows a number of fossils, including this quite nice one: 

The supplementary information shows some cranial features, including this:


A related species from roughly the same time period, Haramiyavia clemmenseni, had CT scanning done on this fossil mandible:



yielding images like this:



Similarly, the euharamiyidans were either very early mammals or very mammal-like cynodonts, which are known from a number of quite nice fossils including these three (described in Three new Jurassic euharamiyidan species reinforce early divergence of mammals):