Has the first name of Emperor Palpatine been mentioned in any Star Wars work?
UPDATE on the origin
As per James Luceno's interview on "Star Wars With Friends #21" Podcast:
The name came directly from George Lucas
It was invented a long time ago, for a never-happened years ago live TV series "Underworld"
In early version of the novel, Plagueis discovers it but doesn't use it to stoke Palpatine's ego.
In Tarkin, the fact that someone knows his first name is a sign of being in his inner circle.
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, released in November 2014.
Here's the blurb from a blog announcing this:
A few days ago at the 'A New Dawn' panel at New York Comic Con, it was revealed that the upcoming novel Tarkin, written by James Luceno, will finally reveal Palpatine's first name.
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.)
“Thank you, Sheev,” Tarkin said, with obvious sincerity, and using Palpatine’s given name. “I will do what’s best for my homeworld, and for the Republic — in any manner you deem fit.”
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:
In 82 BBY, Cosinga Palpatine's wife gave birth to their eldest son, Palpatine, who later insisted on being known only by the cognomen in order to spite his father and the rest of the family. The couple also had at least two other sons and two daughters.
Officially, it has never been revealed.
Even StarWars.com simply refers to him as "Palpatine".
In 2003, Steve Sansweet explained
Palpatine's first name, if he even has one, has yet to be revealed. That's not so unusual even in our own galaxy. For example, in one of the world's most populous countries, Indonesia, many people go by one name. And even some last names are just that, not family names. In the Star Wars universe, we doubt that there are many in the know for whom just plain "Palpatine" isn't enough.
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.