The first State of the Union was in 1800 by our second president, John Adams. Thomas Jefferson began the tradition of passing along the state of the union in writing to Congress, allegedly because he felt he was an inadequate public speaker. In 1913, the task of speaking directly to a joint session of Congress was reestablished by Woodrow Wilson. Woodrow Wilson revived the tradition of the oral State of the Union address (1913) Gentlemen of the Congress: In pursuance of my constitutional duty...

Watch and read Ronald Reagan's first State of the Union address to Congress, given on January 26th, 1982. The best part is about 50 seconds into the clip. Original speech found on Wikipedia.

Learn more about the iconic Four Freedoms Speech by Franklin D. Roosevelt in his 1941 State of the Union address. The first two freedoms are codified in the Constitution, while the latter two form the basis of the modern liberal vision.