My first dates tend to be at really geeky places like museums, bookstores, or Renaissance festivals. Sometimes they've been walking around Baltimore Harborplace, Fell's Point, DC or Annapolis, roaming around and taking in the sights. The boardwalk at Ocean City is where I often take friends from out of town, and hiking in the Catoctin Mountains or Great Falls is also fair game.
Just hanging out, enjoying someone's company and getting to learn about them - it's all good. But even walking around a mall or sharing coffee is just fine and dandy too! There's no pressure. If nothing else, remember: you can never have too many friends!