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Do you mean in your introduction? I hope it would be.
Not the very first line, though. Use that opportunity to pique the reader's attention.
Generally, in the Traditional 5-Paragraph Essay, the thesis statement is expected to be in the introduction, last sentence. However, that "formula" is for this type of essay and there are many other models (that are more complex in structure) that do not require this....prescriptiveness That said, instructors want to be able to teach what a thesis is, and because they have 6 million papers to grade, they want to be able to find your thesis quickly so as to determine whether it has the characteristics of a thesis. They also are teaching focusing on a topic, and a thesis placed early helps to ensure the paper won't wander. I think, too, it teaches a way-of-thinking, teaches the ability to critically analyze, and teaches, perhaps, following specific directions to achieve a desired end: logically arranged thought. (But it can result in formulaic writing if writers don't eventually break out of it.)
The short answer: the thesis, in a Trad. 5-Para Essay, is expected to be in the intro.
Thesis Statements: http://www.youtube.com/watch?feature=player_embedded&v=-e2EthZC0aU
5-Paragraph Structure: http://www.youtube.com/watch?feature=player_embedded&v=GwjmMtTVO1g
A thesis statement, in essays, is a line or two which clarifies the main argument for the rest of the essay. The thesis statement is usually found at the end of the first paragraph. The main function of a thesis statement is to introduce the reader to the purpose of the document and outline the major topics that will be covered to achieve that purpose. The thesis statement must then be referred to in the conclusion of the essay.