“The Jazz Singer” (1927) with Al Jolsen is usually credited as the first “talkie.” You can see a 2-minute clip of it here, starting at the 4 minute 54 second point. http://www.youtube.com/watch?v=IkemguMfWaI
Actor John Barrymore made a film the year before with a synchronized musical score and sound effects using the Vitaphone system, so why isn’t that one considered the first? Probably because “The Jazz Singer” was the first film to use spoken dialogue, or maybe because it was the first full-length talking movie, or maybe because it was the first widely-seen, popular movie with words. Even then, most of “The Jazz Singer” was, like the Barrymore movie, vocal musical numbers. The first non-musical talkie came the next year in 1928: “Lights of New York.”
Warner Brothers used the new Vitaphone system to make the movie. With this system, the soundtrack was not printed on the actual film as it would be later, but came separately on phonograph records that were played while the film was being projected.