How to get first object out from List<Object> using Linq

Try:

var firstElement = lstComp.First();

You can also use FirstOrDefault() just in case lstComp does not contain any items.

http://msdn.microsoft.com/en-gb/library/bb340482(v=vs.100).aspx

Edit:

To get the Component Value:

var firstElement = lstComp.First().ComponentValue("Dep");

This would assume there is an element in lstComp. An alternative and safer way would be...

var firstOrDefault = lstComp.FirstOrDefault();
if (firstOrDefault != null) 
{
    var firstComponentValue = firstOrDefault.ComponentValue("Dep");
}

[0] or .First() will give you the same performance whatever happens.
But your Dictionary could contains IEnumerable<Component> instead of List<Component>, and then you cant use the [] operator. That is where the difference is huge.

So for your example, it doesn't really matters, but for this code, you have no choice to use First():

var dic = new Dictionary<String, IEnumerable<Component>>();
foreach (var components in dic.Values)
{
    // you can't use [0] because components is an IEnumerable<Component>
    var firstComponent = components.First(); // be aware that it will throw an exception if components is empty.
    var depCountry = firstComponent.ComponentValue("Dep");
}

You can do

Component depCountry = lstComp
                       .Select(x => x.ComponentValue("Dep"))
                       .FirstOrDefault();

Alternatively if you are wanting this for the entire dictionary of values, you can even tie it back to the key

var newDictionary = dic.Select(x => new 
            {
               Key = x.Key,
               Value = x.Value.Select( y => 
                      {
                          depCountry = y.ComponentValue("Dep")
                      }).FirstOrDefault()
             }
             .Where(x => x.Value != null)
             .ToDictionary(x => x.Key, x => x.Value());

This will give you a new dictionary. You can access the values

var myTest = newDictionary[key1].depCountry