Food works
I usually for a first date goto a "reasonable" restaurant , not one thats too over the top, but not one thats cheesy either. Find out what her tastes are like and match the restaurant accordingly.
Try not to be too formal it can be uncomfortable for the both of you.
Also if its someone I have known for while I try to do something that they aren't expecting. i once took this bird to an Arcade (although a preppy version of an arcade), and she loved it. It mightta been the fact that she trounced me at MotoGP and ALL the fightin' games. But I got her back at the skittles. Point is we both had FUN and neither one of us felt like we were on show.
The key is making the girl feel like your interested in her and making her feel comfortable to be with you.
Good Luck