There is Great debate upon that but a couple of them are
The Horse in motion (1878)
Roundhay Garden scene(1888)
The great Train Robbery (1903)
A trip to the moon (1902)
The haunted castle (1896)
Frankenstein( 1910)
The Jazz Singer (1927) was the first film to “use spoken dialogue as part of the dramatic action.” Starring Al Jolson, the very profitable musical launched the talking-picture revolution and helped Warner Bros become one of the dominant studios. You can watch these on youtube