You have to do this instead:
a(1).a1
The reason why is because the code you use to create your structure actually creates a 3-element structure array where the first array element contains a1: 1 and a2: 4, the second array element contains a1: 2 and a2: 5, and the third array element contains a1: 3 and a2: 6.
When you use curly braces {} in a call to STRUCT like you did, MATLAB assumes you are wanting to create a structure array in which you distribute the contents of the cells across the structure array elements. If you instead want to create a single 1-by-1 structure element where the fields contain cell arrays, you have to add an additional set of curly braces enclosing your cell arrays, like so:
a = struct('a1',{{1,2,3}},'a2',{{4,5,6}});
Then your original a.a1{1} will work.
EDIT:
If you create your structure using numeric arrays instead of cell arrays, like so:
A = struct('a1',[1 2 3],'a2',[4 5 6]);
Then you can access the value of 1 as follows:
A.a1(1)
For further information about working with structures in MATLAB, check out this documentation page.