Most couples have a song that is special to them and it is traditional for the bride and groom to start the wedding evening's party by dancing to their chosen song (although this is not set in stone!). Although this is not compulsory, it is a nice way to start the evening as all the wedding guests (including those who have just arrived for the evening) get to see the embarrassed couple gaze lovingly into each others eyes as they smooch around the dance floor to the flash of cameras. In actual fact it's not that embarrassing; a good wedding band will let the couple dance alone and then after a minute or so will invite everyone else up to join the bride and groom. With the dance floor full of smooching couples it is then easy to go straight into a party or dance song and so the evening's entertainment begins.
Whether or not the first song if played live by the band or from the original CD will depend on a number of things; does the band already have the song in their set-list? If not, are they prepared to learn it (assuming they have time)? If they are willing to learn it will they do it justice (a three-piece band that does pubs every weekend may be able to do a version of your special song, but will you be happy with their interpretation as your first dance)?
Ultimately the answer to this question is to talk to the band. If you can arrange to see them play live you will get a good idea of their abilities based on how they cover the songs they already do. Good bands always try to learn a couple's first song if it is not already in their set-list, especially if it is a song that we can be used again. Good bands will also, however, have no hesitation in recommending that the original CD version be played if they thought that in time or not do it justice! Beware of copyright issues though; bands will have this covered for live performances but if you want to play a CD, speak to the first first to see if they are covered. You are illegally to experience a problem with the publisher, but you never know!
I can not think of a worse way to start someone's special wedding evening than a band playing a very lame version of a song that should have special meaning to the bride and groom. If you want to do that crazy killer-dance that is so often seen on YouTube, you'll need a good quality dance band. Please note; the sooner you let the band know what you want then the more chance you have of getting it – do not be disappointed if you ask the band 2 days before your wedding to learn a specific song only to be told that it is not going to happen! So plan ahead, think about what song both you and your partner would like that first dance to be, then find a good band and speak to them; they will generally have great advice for you.
Most of all? Just relax on the night, stare into your partners eyes and get everyone in the room gushing and weeping at the lovely romantic sight of you both dancing for the first time as husband and wife.