We didnt have a "first dance", I can't bear first dances, they make me cringe. We picked 5 songs which meant something to us and danced to them quietly together during the evening (it was 20 years ago and first dances were only just a thing then).
We chose Africa by Toto (as a nod to our honeymoon), the you and me song by the wannadies, perfect day, you do something to me, Pail Weller and Lucky you by the lightening seeds.