The first death was either Hedwig or Mad-Eye Moody; both died during the Seven Potters fiasco, but it's impossible to tell which one died first.
In the next chapter, "Fallen Warrior," Bill Weasley says, of Moody's death, "It happened just after [Fleur and I] broke out of the circle [of Death Eaters]..." (Harry Potter and the Deathly Hallows, USA Scholastic hardcover edition, p78). But Hedwig also dies soon after the Death Eaters appear, just moments before Hagrid and Harry break through the circle of them (pp 55 - 56).
So, if Fleur and Bill broke through the circle of Death Eaters a minute or two before Hagrid and Harry did, then Moody may have died first. But if Hagrid and Harry broke through the circle before Fleur and Bill did, then Hedwig died first.
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