This is probably a stupid question, but after browsing around I noticed this subject being brought up as a "no no". I have written a paranormal thriller and I have started the first chapter with a dream. The dream only consumes the first two paragraphs and it is obvious that it is a dream. In my storyline it is through visions and dreams that my protagonists are shown the conflicts that are soon to be upon them...
I think if it's paranormal and dreams and visions are important to your story, then it might be OK to start with a dream. There are some paranormal romances on the market that are about dreams and visions. For example, Shana Abe's
The Dream Thief involves a heroine who has been having dreams about the hero, and this device is rather common. (Didn't Mary Stewart's
Touch Not the Cat have dreams and visions in the plot? And that's still in print today!) And there are probably paranormal thrillers with dream elements as well.
The trick is making the beginning so compelling that even people who don't like the device will read it. I've read some romances where the dream element seemed like a tacked on way to get the hero and heroine together before they met. Bleh. But in a paranormal, I'm willing to give the author a chance because in a paranormal, I know dreams and visions might be more important.
This is why I don't like rules that say "Never start with a dream" or for that matter "Never use dreams in your story." Sometimes people get carried away. I'm not a huge fan of dreams in stories, but... There's always a but. In some stories, they've been an important and compulsively readable part of the story. I loved the Sandman graphic novel. In that series, the MC is Morpheus, the Lord of Dreams, so clearly that was an important part of the stories. It's a good thing Neil Gaiman didn't listen to the people who said "Never use dreams in your story!"

Or Mary Stewart or for that matter Wes Craven (of
Nightmare on Elm Street).