Which is the first dinosaurs to be named ?

Megalosaurus.

Megalosauridae was a family of relatively primitive tetanuran theropod dinosaurs, order Saurischia. They were small-to-large carnivores with sharp teeth and three claws on each hand. Some members of this group were Megalosaurus, Eustreptospondylus, Streptospondylus and Torvosaurus. Megalosaurids first appeared in the mid Jurassic and seemed to have been displaced and replaced by other theropods by the end of that period; their fossils are known from Europe, North America, South America and Africa. They are considered by most researchers (Sereno 2005, Olshevsky 1995, Holtz 2004, etc.) to be close relatives of the spinosaurs.

Classification
Like Megalosaurus itself, the family Megalosauridae, coined by Huxley in 1869, had traditionally been used as a 'wastebasket' group, which included a wide variety of unrelated species (such as Dryptosaurus, Ceratosaurus, Indosaurus, and even Velociraptor). Because of this traditionally polyphyletic use, some scientists, such as Paul Sereno, reject the family name Megalosauridae in favor of Torvosauridae (coined by Jensen in 1985), despite the fact that Megalosauridae has priority under the ICZN rules governing family-level names in zoology.While a 2008 review of Megalosaurus by Benson and colleagues also found that the relationships of Megalosaurus to other theropods could not be determined, and that the assignment of basal spinosauroids to the family Megalosauridae should be discontinued, further work by Benson reversed this position, finding a well-supported Megalosauridae in phylogenetic analyses.

Phylogeny
The clade Megalosauridae was first given a phylogenetic definition by Allain in 2002. According to Allain's definition, a megalosaurid is any dinosaur that shares a common ancestor with Poekilopleuron valesdunensis (since reclassified as Dubreuillosaurus), Torvosaurus, and Afrovenator. In 2004, Holtz and colleagues proposed a new definition: all dinosaurs more closely related to Megalosaurus than to Spinosaurus, Allosaurus, or modern birds (represented by Passer domesticus). In 2005, Sereno rejected the use of Megalosauridae as a clade altogether, due to the fragmentary nature of Megalosaurus, and used the name Torvosauridae instead, using the same definition as Holtz but replacing Megalosaurus with Torvosaurus.