This story is funny, but the humor sadly is not translated into English. The "what do you think" phrase here is addressed to the ones who challenged Jesus to explain the source of his authority. As the story begins, the word translated misleadingly as "came" and "went" is not the common word for "come," and certainly not "went," but a special form of "come" that is typically used for an inferior approaching a superior, as we use "approach," which suggests that the son considered himself superior to the father. The word translated as "the first," in the context of authority, it means "the highest," which is another play on the relative roles of parent and child. The word translated as "son" means "child" and also makes the son less of an adult.
The whole story is an explanation that makes light of Jesus's refusal to explain his authority. As a whole, it contains words Jesus often uses only when he is making light of something. The scene is one of a parent kicking his children out of the nest, which relates as much to Jesus and his apostles than his opponents. (For more on understanding Jesus's humor, read this article.)
Christ's Words in Matthew as a Guide to 40 Days of Prayer.