This was my (and Chad's) first time flying with kids. And Carter and Avery's first time on a plane (by the way Continental, I think it's crap that we pay that much for plane tickets and you can't swing some plastic wing pins for the kids first flights - cheap bastards).
We started our trip by preparing Carter. We talked about planes, showed him pictures, told him about the noises planes make, where they go, what size they are, etc. So natch - he was pretty excited (although, as it turns out - he was just as excited about the luggage carts as he was the planes ("big tucks eveywhere mommy!"):Luckily, the plane was relatively empty on the way to Atlanta, so we were able to have plenty of room to sprawl out. Avery even sat on her own (calm down ... it was only briefly, while I retrieved some of her toys from my carry-on).
Note: Yes, with new TSA rules...traveling with small children can be touchy (no pun intended). Just explain everything ahead of time to your kids and it may help. What also helps - nice TSA agents (not that you can control that). The agents at the Cleveland Airport were so wonderful (in fact, I wrote a letter to the Government contact for the TSA to let them know that the Cleveland team rocked). The Atlanta TSA agents were a whole other story ... they can suck it).