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Can I get a recommendation for a good book for first law of thermodynamics which has plenty of tough problems. It should cover basic thermal Physics topics and the first law specially.

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If you want a book with a "traditional" approach, which discusses in detail experiments and real-life systems, I would suggest Heat and Thermodynamics (Zemansky and Dittman).

If you are looking for a more formal (axiomatic) approach, I would recommend Thermodynamics and an Introduction to Thermostatics (Callen).

In both books (which are classics of the field) you can find many problems at the end of each chapter.

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Fundaments of Engineering Thermodynamics by Moran et al is, in my judgment, a wonderful book, with lots of challenging examples. It also does a terrific job of covering the 2nd law of thermodynamics, offering two different approaches, including the one that I really like, based on entropy and the Clausius inequality.

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