Q:

I am not the first

I am not the first. 
To some I am the second. 
To others I am the third. 
But I'm never the fourth.

I am the first. 
I'm no help in "a way out." 
But I'm first in these words: "I", "don't", "know".

I can't be left alone. 
If I'm alone, I will offend someone. 
You can't make peace if you cut me off. 
But on the other hand, you might.

I was inspired by this riddle by Mello, so I wanna give him props.

A:

You are:

my middle finger

I am not the first.
To some I am the second.
To others I am the third.
But I'm never the fourth.

Counting from the index finger to pinky, the middle finger is the second. Counting from pinky to index, it is third. It will never be first or fourth (in a complete hand, anyway).

I am the first. 
I'm no help in "a way out." 
But I'm first in these words: "I", "don't", "know".

I missed this one entirely. See Matt's answer for the correct interpretation.

I can't be left alone. 
If I'm alone, I will offend someone. 

The middle finger on its own is an insult.

You can't make peace if you cut me off. 

The peace sign requires both the index and middle fingers.

But on the other hand, you might.

I believe this is just a pun on "hand".

A:

I think it's

 Your middle finger 

Reasoning:

It's either second or third, depending on if you start with the thumb or not.  The second clue is where the middle finger falls when typing.  The third clue - a middle finger alone is offensive, and if you cut off the middle finger on one hand, you can't make a peace sign, but then you can always make a peace sign with the other hand

