The Lady Vanishes (1937)

The whole point of the MacGuffin is that it is irrelevant. In Hitchcock's own words, the MacGuffin is:

the device, the gimmick, if you will, or the papers the spies are after... The only thing that really matters is that in the picture the plans, documents or secrets must seem to be of vital importance to the characters. To me, the narrator, they're of no importance whatsoever.

Angus McPhail, who may have been the first to coin the term, explained its meaning with a nonsense story. Two men were travelling on a train from London to Scotland. An odd shaped package sat on the luggage rack above their seat.

"What have you there?" asked one of the men.
Oh, that's a MacGuffin," replied his companion.
"What's a MacGuffin?"
"It's a device for trapping lions in the Scottish Highlands."
"But there aren't any lions in the Scottish Highlands!"
"Well, then, I guess that's no MacGuffin!"

The MacGuffin is the engine that sets the story in motion. It can be anything, or nothing at all. In The 39 Steps, it is "secrets vital to your air defence"; in Number Seventeen it is a valuable piece of jewellery, while in The Lady Vanishes it is, in the most perfectly abstract of all Hitchcock's MacGuffins, a coded message contained in a piece of music.

Hitchcock didn't invent the MacGuffin, but he made it his own, employing it time and again throughout his career. Nowadays, it is so closely associated with him that when it is used by others, as for example in Roman Polanski's very Hitchcockian Frantic (1988), it is often seen as either homage to, or a theft from, Hitchcock.