I don't know if it was the first I ever bought, but one of the earliest 45-rpm singles I remember having was Bobby Darin's “Sorrow Tomorrow” with a rock arrangement of “You Must Have Been a Beautiful Baby” on the flipside. And Elvis Presley's “Return to Sender.” I wasn't a big Elvis fan at the time, though.
macloudt wrote:

I started buying singles around 1980 so my answer was the positively embarrassing Xanadu by Olivia Newton-John. 
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“Xanadu” is a good song. It's the movie that was an embarrassment.
Flukie wrote:

Minnie Riperton's “Lovin' You”. 45 RPMs baby!
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That's not a song; it's a voice exercise. It's practice scales with lyrics.