this is jeyne westerling: http://www.cardgamedb.com/forums/uploads/1281900999/med_gallery_20_205094.jpg

this is flame kissed: http://www.cardgamedb.com/forums/uploads/1281900999/med_gallery_11_80198.jpg

lets say I have jeyne in my setup, and I suspect they want to burn her before she can get robb. lets say they are running hollow hills. right after my setup is revealed, we both want to trigger our ability, me for robb and him for burn. wo gets to play first since there is no chosen first player?

From the Core Set rules for Game Setup (p.8):

3. Declare your House and agenda

Randomly determine which player will be the

first player. This player now announces which

House card and agenda (if any) he or she will

use for this game. Then all opponents, in clockwise

order, do the same. Note that more than one

player may play the same House and agenda.

So there is never a time when there is no First Player.

Also remember the following from the FAQ (p.8):

(2.1) Card Effects in Setup

Cards revealed during setup do not trigger card effects. This includes cards that contain the text "When put into play" or "When played from your hand." No actions may be taken during the setup phase.

So you both have to wait until the "pre-plot" player action window in the first plot phase begins to trigger your actions.