I have friends going to their first party and the girl asked me the same question.

I also suggested the simple black dress (thanx jeanne,) heels of course (I love what heels do for nice legs and asses.)

I also suggested she could wear a corset under the dress, with no need to show it unless moved to do herself. What you wear under will change how you feel on the outside too. And feeling a bit naughty helps release the nerves of being at that first party.