Has the first name of the Emperor Palpatine been mentioned in any of the Extended Universe Star Wars works?
No first name for the Emperor has been revealed to date.
Wookiepedia sums it up thusly:
UPDATE from New Disney Canon:
As per the new canon, the Emperor's first name is Sheev
The source is James Luceno's "Tarkin" book, to be released in November 2014.
Here's the blurb from a blog announcing this:
I will post an answer with actual book quote when I get a copy.
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.
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.