I dont exactly remember my first movie watched, but the first movie I saw in Theaters was Monster's Inc. lol Throughout the whole movie I would exclaim "There's a door!" whenever a door appeared, which happened practically throughout the whole movie. :)
Easy. The Wizard of Oz. I don't remember much about it -- it was about 1940 when I was only 3 -- but I remember being taken there by my older sister. The next earliest I remember was probably a few years later, and that was Bambi.