Has the first name of Emperor Palpatine been mentioned in any Star Wars work?
UPDATE from New Disney Canon:
As per the new canon, the Emperor's first name is Sheev
Here's the blurb from a blog announcing this:
Earlier today the Star Wars Wikia Wookieepedia updated their article on Palpatine with the new name and listed page 93 of Tarkin as their source. (Obviously one of their editors got an advanced copy of the novel.)
To complement Phantom's answer, another option aside from Ethril that the fans non-canonically use is "Cos"
The name comes from an early draft of Episode IV: A New Hope in which Lucas named the Palpatine-like figure "Cos Dashit."
The name was later sorta-recycled into his father's name, Cosinga Palpatine.
No first name for the Emperor has been revealed to date.
Wookiepedia sums it up thusly:
Officially, it has never been revealed.
Even StarWars.com simply refers to him as "Palpatine".
In 2003, Steve Sansweet explained
To date, no EU materials have given him an official first name, though an early draft of The Visual Dictionary supposedly named him "Ethril". I can't find any scan of that online to confirm this though.