We didn't do a first dance, we had a outdoor, lunch time cocktail wedding. But the other main songs we used for it were Stand By Me - Ben E King (for wedding party going down the aisle)
Pachelbels Canon in D for me going down the aisle (because I'm super original, but it was played by our string quartet so was gorgeous).
Then hubby and I walked back down the aisle when we were done to Fly Me To The Moon by Frank Sinatra. Which I would totally recommend as a first dance song. It's beautiful and the lyrics are very sweet.