Pretty much any explanation we come up with for this poem is going to be longer than the poem itself, which makes explanation a tricky business. Here's our short(ish) take on "First Fig," though: in one short stanza, Millay comes up with a single metaphor that opens up onto all sorts of interesting things. See, the speaker, who remains unnamed, has this candle. Oddly, it burns at both ends. (Don't try this at home, folks.) And even though it'll burn out really quickly, it also burns about twice as brightly as any normal candle. Simple enough, eh?
Okay, so candles might seem like pretty boring business. But once you start thinking about the candle as a metaphor for other things (like, say, the speaker's life, or her sexuality, or even Millay's own career as a poet), well, then things start to get a whole lot more interesting.