First off, so your "turn the key on for 10 years (jokes) to prime the pump before you start" problem is solved, right??
What year is that bad boy? Is it EFI or Carb'd? Have you checked your cylinders for compression? You said the "Check Engine Light" comes on?? Have you checked the computer for codes?
If you're getting proper pressure the whole time, and you KNOW that fuel is making it all the way to the engine - I wouldn't think that it's a fuel problem... Unless your carb jets or injectors are bad...
If it's carb'd, for the initial rough running condition, I would suggest that your choke on the carb could be either shot or going bad... I know that's what happened to my J-truck when the thermostatic choke finally bit the dust. She'd take a few more cranks than normal to start and then would stall and run rough for a little bit because the air/fuel mixture was off. It could still be a number of other things if it's carb'd - but that would be the first thing I would think of if this was happening to one of my vehicles. (Actually, I think the thermostatic choke IS going out on my YJ's carb as well, but I plan on getting a totally new carb - so I'm leaving it be) An easy fix is rigging up your own manual choke - like what's on old tractors. You can also install a new thermostatic choke - but that's just another part that one day will fail again. A properly set up manual choke will never fail. But I really REALLY don't think the "Check Engine Light" would come on with a bad choke on your carb...
With EFI, I'm not so confident - I know a bit about it, but I'm better with carbs... Have you checked your O2 sensor (though I don't think that's your problem)? MAP sensor? I know the TPS and CPS can cause some rough starting and stalling issues... With EFI, in my mind, it started getting a lot more complicated because a majority of the sensors and what-not are needed to be working properly for the computer to tell the injectors (and other systems) what they need to be doing in order for your engine to be running properly. Your ECU COULD be bad - though if it's ONLY during the initial starting/"warming up" thats running rough, I would doubt that it would be strictly the ECU that's at fault.
Give us some more info and we might be able to help diagnose a little better... What all has been replaced recently? What all have you checked other than the fuel pressure?
Sorry... That's all I got for now.