According to Wikipedia, Georges Méliès’ classic 1902 silent movie Le voyage dans la lune (A Trip to the Moon) was the first science fiction film. I think it’s a brilliant example of the mixture of turn of the century values and strange science that makes steampunk such a popular subgenre and subculture today. Check it out!
http://video.google.com/googleplayer.swf?docid=681138103275355387&hl=en&fs=true