A1: Slave Pits of the Undercity (1980)

I am not sure if this is the actual copy or a second purchase but this was the first module I ever bought to run as a DM. For the record I never ran it. The honor of first module goes to The Sinister Secret of Saltmarsh,

From the web:

This module was originally used as a tournament adventure at GenCon 13. The characters are recruited to root out a slave trade that has been burning and looting coastal towns. The module is designed for a party of characters level four to seven.

This module is the first in the Slaver's series of four modules.

From the front cover:

"It is time to put a stop to the marauders! For years the coastal towns have been burned and looted by the forces of evil. You and your fellow adventurers have been recruited to root out and destroy the source of these raids. But beware, hundreds of good men and women have been taken by the slavers and have never been seen or heard from again!"