There is some great advice in this article. For example, I would never have thought to ask my parents or grandparents what music they played for their first dance. What a lovely way to celebrate their marriage as well as your own though.
If you're having a band play your first dance, why not ask them if they can change the style of a particular song slightly to make it unique to you? There are some beautiful covers of songs that you can use as inspiration. Think Elle Goulding singing Your Song or Lily Allen singing Somewhere Only We Know. Or choose something upbeat to buck the trend. My husband spun me round the dance floor to Olly Murs Dance With Me Tonight. At the time it held no special meaning to me, but now it's one of my favourite songs of all time.