Its pretty common here in Scotland (well especially in the North East) to start a wedding dance with the Grand March. It gives the guests a chance to see the bride and groom parade round the floor and then the immediate bridal party join in for a few turns and then everyone else gets to join in. Its also a good way of getting people into sets of 8 for a set dance. I've seen it many times as a first dance, and although its not strictly a dance - its a nice way for everyone to start things off in my opinion.