Here's some great information from Martha Stewart Weddings on a first dance that will wow the crowd:
Start by thinking about the mood you want to set as you step out for your spin on the dance floor: Will it be tender, joyful, sentimental, vivacious, or lighthearted? What you desire can usually be evoked in a particular style of dance or by a single, meaningful song. You may select one first, then the other, or choose the dance and song together.
Many couples know right away that they want to do a traditional ballroom dance. The perennial favorites for weddings are the romantic waltz and the genteel fox-trot. The waltz is marked by turning movements and is danced to music of the same name (one familiar waltz is "Someday My Prince Will Come"). The fox-trot is a combination of slow and quick steps executed by smooth, gliding motions. It can be danced to any number of musical styles, ranging from ragtime to Big Band jazz to fifties rock n' roll. Most beginners can learn the basics of either dance in a few hours, but you'll need additional time and practice to become confident with the steps.The more you practice, the more dancing together will become second nature - and that, after all, is the idea. You should look like you're in love, not like you're trying to remember steps. Enjoy getting ready for your debut on the dance floor; few other wedding preparations offer the chance for such ebullient, joyous experimentation.