Final answer:
Arnold Friend's first words to Connie in the story are not among the provided options, but they play a crucial role in establishing his threatening presence.
Step-by-step explanation:
The first thing that Arnold Friend says to Connie in "Where Are You Going, Where Have You Been?" is "Gonna get you, baby", which is not one of the options provided in the question. This initial interaction sets the stage for the unsettling nature of Arnold's character and foreshadows the tension that will build throughout the story.