Mathematical logic defines a statement about all elements of an empty set to be true. This is called vacuous truth. It may be somewhat confusing since it doesn't agree with common everyday usage, where making a statement tends to suggest that there is some object for which the statement actually holds (like the person in front of you in your example).
But it is exactly the right thing to do in a formal setup, for several reasons. One reason is that logical statements don't suggest anything: you must not assume any meaning in excess of what's stated explicitly. Another reason is that it makes several conversions possible without special cases. For example,
$$\forall x\in(A\cup B):P(x)\;\Leftrightarrow
\forall x\in A:P(x)\;\wedge\;\forall x\in B:P(x)$$
holds even if $A$ (or $B$) happens to be the empty set. Another example is the conversion between universal and existential quantification Barry Cipra used:
$$\forall x\in A:\neg P(x)\;\Leftrightarrow \neg\exists x\in A:P(x)$$
If you are into programming, then the following pseudocode snippet may also help explaining this:
bool universal(set, property) {
for (element in set)
if (not property(element))
return false
return true
}
As you can see, the universally quantified statement is only false if there exists an element of the set for which it does not hold. Conversely, you could define
bool existential(set, property) {
for (element in set)
if (property(element))
return true
return false
}
This is also similar to other empty-set definitions like
$$\sum_{x\in\emptyset}f(x)=0\qquad\prod_{x\in\emptyset}f(x)=1$$
If everyone in front of you is bald, then you are bald.
Applying the above to the statement from your question: from
$$\bigl(\forall y\in\text{People in front of }x: \operatorname{bald}(y)
\bigr)\implies\operatorname{bald}(x)$$
one can derive
$$\emptyset=\text{People in front of }x\implies\operatorname{bald}(x)$$
so yes, the first person must be bald because there is noone in front of him.
Some formalisms prefer to write the “People in front of” as a pair of predicates instead of a set. In such a setup, you'd see fewer sets and more implications:
$$\Bigl(\forall y: \bigl(\operatorname{person}(y)\wedge(y\operatorname{infrontof}x)\bigr)\implies\operatorname{bald}(y)
\Bigr)\implies\operatorname{bald}(x)$$
If there is no $y$ satisfying both predicates, then the left hand side of the first implication is always false, rendering the implication as a whole always true, thus allowing us to conclude the baldness of the first person. The fact that an implication with a false antecedent is always true is another form of vacuous truth.
Note to self: this comment indicates that Alice in Wonderland was dealing with vacuous truth at some point. I should re-read that book and quote any interesting examples when I find the time.