Another great point Joe. This is a question that I have tossed around in my head for quite a while. I don't think there are any scientific facts as to why the first shave after a couple of days off is generally perceived as closer and less irritating. All we have are opinions. Here's mine (subject to change without notification).
I think it is easier to cut a couple days worth of growth because the hair is longer, heavier, and stands up to the razor better. Thus it is easier to chop it off closer to the base. Kind of like how it is easier to mow the grass if it's a little longer. This plays right into the hands of most traditional shavers who try and cut as close as possible with one stroke. I'm sure that the additional sebum also plays a role (as Adam pointed out).
When I was a common shaver the Monday morning shave was the only one that was remotely comfortable. What I noticed was that it is much easier to shave close; however, the zero irritation part was just a mirage. In other words, I could always get a close shave, and while it was comfortable at the time (probably because my skin was well rested), I would always get razor bumps that would show up late in the day (from shaving too close with a multi-bladed razor). From that point irritation was inevitable. My terrible technique would turn those razor bumps into hamburger for the rest of the week and so the cycle of misery would continue.
I currently shave six days per week most weeks (and on the seventh day he rested). As an experienced Method Shaver, I find my Monday shave to be the most difficult of the week. It is harder to reduce a beard that has more mass. On the other hand, if I use a more traditional approach on Monday it is easier to get the closeness that I seek.
This is another example of how Method Shaving technique is a better long-term approach and helped me break out of the cycle of irritation. Using the traditional approach you get one easy shave and five or six tougher ones. Using MS you get one slightly more difficult shave and five or six easy ones.
"Two wrongs don't make a right, but three rights make a left."
- Zen philosopher Basha