This book is the first volume of a two-volume monograph devoted to the study of limit and ergodic theorems for regularly and singularly perturbed Markov chains, semi-Markov processes, and alternating regenerative processes with semi-Markov modulation. The first volume presents necessary and sufficient conditions for weak convergence for first-rare-event times and convergence in the topology J for first-rare-event processes defined on regularly perturbed finite Markov chains and semi-Markov processes; new asymptotic recurrent algorithms of phase space reduction and effective conditions of weak convergence for distributions of hitting times and convergence of expectations of hitting times for regularly and singularly perturbed finite Markov chains and semi-Markov processes.