I would have guessed that it would be slower to prepend Where since it must find all matching items and then take the first and a preceded FirstOrDefault could yield the first found item. Can somebody explain why i'm on the wrong track?
You are on the wrong track because your first statement is simply incorrect. Where
is not required to find all matching items before fetching the first matching item. Where
fetches matching items "on demand"; if you only ask for the first one, it only fetches the first one. If you only ask for the first two, it only fetches the first two.
Jon Skeet does a nice bit on stage. Imagine you have three people. The first person has a shuffled pack of cards. The second person has a t-shirt that says "where card is red". The third person pokes the second person and says "give me the first card". The second person pokes the first person over and over again until the first person hands over a red card, which the second person then hands to the third person. The second person has no reason to keep poking the first person; the task is done!
Now, if the second person's t-shirt says "order by rank ascending" then we have a very different situation. Now the second person really does need to get every card from the first person, in order to find the lowest card in the deck, before handing the first card to the third person.
This should now give you the necessary intuition to tell when order does matter for performance reasons. The net result of "give me the red cards and then sort them" is exactly the same as "sort all the cards then give me the red ones", but the former is much faster because you do not have to spend any time sorting the black cards that you are going to discard.
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