Suppose that there is no First Cause. Then there can be uncaused events—the coming into existence of the universe is an example, for instance. Now consider the Ultimate Sceptical Hypothesis (USH): you are a nonmaterial being that is the only thing that ever exists; you came into existence the previous moment for no cause at all; and there is no cause of your having the presnet occurrent mental states you now have; and you have just these occurrent mental states and no other states.
Compare, now, USH to what its main nonsceptical alternative is if there is no First Cause. That main alternative will be SN: scientific naturalism, with the initial state of the universe being a brute, unexplained fact. USH is simpler than SN. It is simpler on the crude criterion of entity counting: USH has only one entity, you, while SN has many atoms, galaxies, houses, geckos, etc. However, if we count only unexplained entities, as I suggested in a previous post, USH has only you and your present occurrent mental states (which there aren't many of!), while PN has the universe and its initial state, so maybe we have a tie. But PN is much more descriptively complex: it includes a number of laws of nature with various constants, for instance, as well as a high-energy extremely low entropy initial state. While you just have whatever occurrent mental states you now have—which is not much at all (how much of a thought can you think in an instant). So USH seems to be preferable to PN on grounds of parsimony.
Thus, rejecting a First Cause leads to scepticism.
This is, of course, a variant of a Rob Koons argument.