The Kenneth Arnold "flying saucer" sighting of 1947, is generally regarded as being the first. It is the first one that made the newspapers.
http://en.wikipedia.org/wiki/Kenneth_Arnold
Okay, I saw something once that I am sure would have sent most other people into a tailspin of hysteria. But I stuck it out and figured out what it was. This is one, that if I had reported it, would have gone down as unexplained. It would have joined the hundreds of thousands of others which are just mistakes of perception and identification.
The Internet is loaded with UFO junk. So are the popular media. It's especially exciting for those who like to throw in a little government conspiracy, for enhancement.
In 1989, a man named Bob Lazar began his career as an Area 51 whistle-blower. At the very best, he is a misguided crackpot, but I tend to think he was an outright fraud. Anyway, it paid well, as he became the darling of the UFO/conspiracy subculture in the US. He was the beginning of all the Area 51 myths.
I find it interesting that he was supposedly revealing to the public the most top secret government information you could imagine, and yet he was never charged or prosecuted for it. Nor did he disappear or die in any mysterious "accident", either.