We didn't have a first dance, per se. Having DJ'd many, many weddings, one of the things we wanted to avoid was interrupting the reception with "events". Let's back up, I had 3 simple requirements for the reception: a DJ over a band, a buffet rather than a sit down meal, and a non-stop party from beginning to end. The latter was the reason for limiting the events, so we didn't have an official first dance. However......
......I met my wife when she was on the committee for a dream date charity auction and I was the DJ. She caught my eye, we talked at a couple of committee meetings, so at the actual event, after the auction was finished and people were partying, I waited until she was free and put on the most romantic song at that time, which, because Ghost was the hot movie, was Unchained Melody by the Righteous Brothers.
(And then I let her leave without getting her number, but that's another story.)
So about halfway through the reception, when it came time to break for a slow dance, I went up, got the mic, told the story and invited everyone on the floor to dance with us.