I just throw this question out to satisfy my curiosity, why isn't St. John the Baptist considered the first martyr?

Because St Steven the Deacon was Martyred first.

Also, if I remember correctly, St. John the Forerunner was the last Old Testament profit.

And as a sidebar. Does anyone have a theory on why after the theophany there is very little recorded about John. I'd think that John's and Jesus' lives would have been much more intertwined.

St. John had fulfilled his role in Christ's recognition, and from that point on, was simply another route to hearing about Jesus...

Very little is written about John after the Theophany because, as John says, "One who is greater shall come after me". Also, he got into trouble with Herod Antipas and was locked up in the fortress of Macharias, until Salome did her cute little dance. The beginning of Jesus' ministry in or around AD 29-30 coincides with the end of John's in 28-29. The timeline looks something like this

AD 26--Beginning of John's ministry
AD 28/29--Baptism of Jesus
AD 29--Arrest of John
AD 29/30--Death of John, beginning of ministry of Jesus.
AD 30-33 Ministry of Jesus
AD 33 Crucifixion and resurrection of Jesus
AD 34/35 Stoning of Stephen
AD 36 Conversion of Saul

More bluntly: he did his job announcing Who was coming, and got out of the way . . .

I'm sure, though, that John's ministry continued up to the point of his arrest. John had many followers, including, it would seem, James and John among the Disciples. And there seemed to have been continuing communications between Jesus and John through their overlapping groups of followers. Thus, there is a transitional period in which both Jesus and John are active.

From what I have read there was a significant group of people who believed that John the Baptist not Jesus was the messiah. This conflict apparently continued well into the first century particularly in the Christians called the Johannine Community. See the following:

"2.1.3 The adherents of John the Baptist

John portrays the first followers of Jesus as disciples of John the Baptist and the Johannine movement itself may have had its roots among such disciples. Therefore, it is surprising to find in the Fourth Gospel such a large number of negative statements pertinent to John the Baptist. He is not the light (Jn 1:9); he does not antedate Jesus (Jn 1:15, 30); he is not the Messiah, nor Elijah, nor the Prophet (Jn 1:19-24; 3:28); he must decrease while Jesus must increase (Jn 3:30). All this becomes intelligible when we hear in Jn 3:22-26 that some of the disciples of John the Baptist did not follow Jesus (contrast Jn 1:35-37) and jealously objected to the number of people who were following him.

If once more we read the Gospel partly as an autobiography of the Johannine community, we are led to suspect that Johannine Christians had to deal with such disciples and that the negations are meant as an apologetic against them. The fact that they are refuted in the Gospel, not by direct attack upon them as non-believers, but through careful correction of wrong aggrandizement of John the Baptist may mean that the Johannine Christians still held hope for their conversion (compare Acts 18:24-19:7).(7)"

THE JOHANNINE COMMUNITY
Herman Hendrickx, C. I. C. M.
Theology Annual vol. 12 1990-1991 p.167-180

http://www.shanxixiuyuan.com/sxnk/annaul/A012k.htm

St John was also the forerunner in 2 respects. He announced to the living that the Lord was coming and to repent. He had to die first so he could annouce to those in Hades that the Lord was coming there too. Nice thing I learned.

Glory to Jesus Christ!
The Beheading of St. John the Baptist did not stop his preaching. According to tradition, he continued to preach to those in hades awaiting the Resurrection of Christ.
Deacon El

Of course the Seven Maccabees, their teacher Eleazar and their mother Salome are also commemorated as martyrs on August 1.