On June 7, 1892, Benjamin Harrison became the first President of the United States to ever attend a baseball game. In 1910, baseball had become so identified as America's sport that William Howard Taft threw the first ceremonial pitch of the season. Every President has done it at least once since, save for one - Jimmy Carter. He threw first pitches of games, but never the ceremonial season opener. And Obama hasn't done it yet, either, but he's got some time.
Nearly every POTUS accomplished some sort of first during his tenure - even if it was just "First President to Die While in Office" (William Henry Harrison, after about 32 days into his presidency). If I missed your favorite, be sure to share it in the comments.