I don't have vivid memories of it or anything, but I do vaguely remember seeing An American Tail: Fievel Goes West in theatres with my parents when I was really little. They bring it up a lot, though, so maybe I'm mistaking my imagination from what they tell me for memory. Regardless, whether it was the first movie I saw in theatres or not, it's the earliest I know of. :D Now that I look it up, though, it was released in 1991 so I doubt I have real memories of it. XD I DO remember because scared of the spider in it, though.
edit: I remember my brother's first movie. We took him with us to see The Lion King when he was like... a week old. XD