I had a question about what would happen when Greyjoy is attacking against Ghaston Grey (which triggers after you lose a challenge) and they play We Do Not Sow (which triggers after you win a challenge) to discard Ghaston Grey. From the rulebook, it's clear that the first player gets the first opportunity to trigger reactions. So Greyjoy could only preempt Ghaston Grey if they are the first player.

That seems a little strange to me. For whatever reason I feel like the active player should have first priority during challenges. Maybe this is just an advantage for being first player that I previously overlooked.

So I don't really have a rules question, but I wanted to know if any experienced players had any thoughts about this particular rule and if there are other situations where acting first can be a big deal.

The "first player first" change was mostly made to unify timing. In first edition, the active player/first player had different priorities, and those priorities differed based on whether you were reacting to a framework action or a player action, or (worse yet) to a shadows action. It created a lot of timing issues.

Here, with the addition of the FP token, I think making everything "FP chooses, and if multiple players have to make a choice, FP chooses first" keeps things simple.

It certainly makes going first somewhat advantageous - but that's not just a property of the timing, but also a property of removing Moribund. In first edition, moribund would have ensured that Ghaston would still get a chance to go off regardless of whether it had been targetted by We do Not Sow (regardless of FP).

Given that in first edition, it was "widely" preferable to go second, giving the first player a little aggressive edge in this department doesn't feel like a bad idea, conceptually.

Actually, the cost of Ghaston Grey includes sacrificing it, so the moribund rules would have prevented triggering it.