If it's left up to me, I usually pick a place like the pool hall or somewhere where you can actually TALK to each other. Some kind of relaxed setting where you can have fun and get to socialize, unlike the movies where you sit there in silence for two hours then go home.
Really, the whole point is to get to know a person. I think it leads up to a 2nd date better, or even continuing on with the first by going somewhere else, and definitely kills tension better than any dinner or movie could. Plus, that's just for "Boring Betty"s. Be original, or at least try.