There's nothing wrong with going to a movie on a first date especially if both people have stated they've been waiting to see the movie during previous conversations they've had with one another. The same could be said for going to see a play, concert, dancing, or sporting event. Ideally you'd see an early movie and then have dinner or cocktails afterwards to chat.
A first date is all about having FUN and finding out if you have chemistry. Odds are if you have a great time there will be a "second date". Getting to know one another takes place over the phone, in person, and via email. If you can't have fun together the relationship is doomed. You shouldn't have a first date unless you sense you like someone and have similar interests.
One of the reasons why so many people complain about never having "second dates" is because they insist the first date be an all out "interview" with a boring back drop.
The real goal should be to have both people (relax) and be their "authentic selves". The more formal the setting is the more guarded people are and the odds are they'll try to be on their "best behavior" instead of revealing their true personality. This is one of the reasons many people suggest going out to (lunch) or having a picnic for a first date instead of dinner. A county fair/amusement park or festival are also ideal environments for getting people to reveal themselves.
What matters most is (both people) enjoy the proposed activity. If someone dislikes going to the movies or whatever the event is then they should make it known instead of just going along. There's a very good chance the he or she will expect to continue this activity once they're in an exclusive relationship. Be yourself!