Bag first of Pokémon - that hurt! (5)
I believe the answer is:
pouch
'bag' is the definition.
(pouch is a kind of bag)
'first of pokemon that hurt' is the wordplay.
'first of' suggests taking the first letters.
'that hurt' becomes 'ouch' (I've seen this before).
The first letter of 'pokemon' is 'p'.
'p'+'ouch'='POUCH'
(Other definitions for pouch that I've seen before include "Marsupial's baby carrier" , "Bag" , "joey's home" , "Kangaroo's pocket" , "Container for tobacco or young" .)