First Spielberg in the theater: Jurassic Park
First Scorsese in the theater: The Aviator
First Wes Anderson in the theater: Life Aquatic
First PT Anderson in the theater: There Will Be Blood
First Spike Lee in the theater: Inside Man
First Fincher in the theater: Panic Room

None.
Always video.

Spielberg: Indiana Jones and the Kingdom of the Crystal Skull
Scorsese: Shutter Island
Wes Anderson: I've never seen his movies in the theater
PT Anderson: Same as Wes Anderson
Spike Lee: BlacKkKlansman
Fincher: Gone Girl
Throughout Heaven and Earth, I alone am the honored one.

First Spielberg in the theater: He fingered my bunghole
First Scorsese in the theater: Raped me.
First Wes Anderson in the theater: Also raped me.
First PT Anderson in the theater: Masturbated into a potted plant in my presence.
First Spike Lee in the theater: Had an enlightening discussion with me about social mores. Then he raped me.
First Fincher in the theater: They don't call him Fincher the Felcher for nothing!

Jurassic Park for Speilberg.
No idea who the rest of them are.

First Spielberg in the theater:
Jurassic Park
First Scorsese in the theater:
none
First Wes Anderson in the theater:
none
First PT Anderson in the theater:
none
First Spike Lee in the theater:
none
First Fincher in the theater:
none

First Spielberg in the theater: Jurassic Park or maybe Indiana Jones and the Last Crusade
First Scorsese in the theater: Gangs of New York
First Wes Anderson in the theater: -
First PT Anderson in the theater: Punch-Drunk Love
First Spike Lee in the theater: Inside Man
First Fincher in the theater: Fight Club

First Spielberg in the theater: Jaws

First Spielberg in the theater: Jaws
First Scorsese in the theater: Cape Fear
First Wes Anderson in the theater: <Never>
First PT Anderson in the theater: <Never>
First Spike Lee in the theater: Jungle Fever
First Fincher in the theater: Alien 3

First Spielberg in the theater:
Close Encounters Of The Third Kind - '77
First Scorsese in the theater:
After Hours - '85
First Wes Anderson in the theater: 0
First PT Anderson in the theater:
Magnolia - '99
First Spike Lee in the theater:
Do The Right Thing - '89
First Fincher in the theater:
Alien 3 - '92
Norman! What did you put in my tea?

First Spielberg in the theater: Raiders of the Lost Ark
First Scorsese in the theater: Cape Feat
First Wes Anderson in the theater: Rushmore
First PT Anderson in the theater: Boogie Nights
First Spike Lee in the theater: BlackKklansman
First Fincher in the theater: Alien 3