Well, the current research shows that sexuality may be hard-coded into our genetics, as such a person is literally born with their sexuality set in stone. Sadly, it's not really my area of interest so I just have my memory to rely on what some of my professors were interested in at the time they were teaching the course.

I do recall comparative psychology studies where a bird species was studied in order to understand homosexuality a bit better. The birds that tended to be homosexual were usually born later, and tended to be more of a "helper" to it's parents (as well as for other birds) than the other birds. I do know that in humans homosexual's tend to be the third or fourth born child instead of the firstborn, but obviously that isn't always true. 

In theory, the first sexual experience (consensual) for a person would be with the gender that they are actually attracted to, but there is also the associated social stigma that usually goes with homosexuality. As such, a homosexual male may have feelings for other men, but he feels like he should (societal pressure) have sex with women which leads to his first sexual experience being with a woman instead. The same could also be said for a homosexual female as well. Because of this, there is some debate as to whether bisexuality is an actual orientation or if it's just the person's choice as to who they want to have sex with.

The other source for studying this is with individuals that are genetically XY/XX but end up developing the phenotype (physical characteristics) of the opposite gender. I know the XY females is termed androgen insensitivity syndrome, but I am unfamiliar with the XX version. Of course, having these syndromes doesn't necessarily mean that the person will actually develop as the opposite gender (it's a bit rarer if they do), but those that do are usually heavily studied. I remember I knew the proportion of which orientation they would develop into, but sadly I don't actually remember the numbers. 

I seem to recall that it depended on which hormones the fetus received during development though.