Wow, that's hard... I think the first damsel I ever saw was a girl in an old swedish comics album, "Anderssonskan's Kalle". Some kids are in a play where some pirates have kidnapped this girl whom they've tied to a chair. Then, when they are trying to get into character, this girl starts having this overly dramatic and romantic monologue that completely breaks the mood, so they gag her.
The first animated damsel I ever saw was probably Charlie from "Biker Mice from Mars". Crappy gag scene, but still.
D3