I couldn't say it was first, but I remember the Brothers in Arms album by Dire Straits was one of the first. I have a CD single of Brothers in Arms - one of the first CD singles - which I believe was only released for promotional purposes.
Searching the net I've found this from a Philips website
In August 1982 the real pressing was ready to begin in the new factory, not far from the place where Emil Berliner had produced his first gramophone record 93 years earlier. (Deutsche Grammophon, Berliner�s company, had by now become a part of PolyGram). The first CD that was pressed in Hanover was a recording of Herbert von Karajan conducting the Alpine Symphony by Richard Strau�. In January 1983, 500 working days after the start of production, half a million CDs had been made. The demand from Japan in particular was overwhelming.
But I would imagine this would be an area open to dispute.