Here's some questions and tips to help you think of some if you're really struggling.
1. Jog your memory. Was there a song playing in the background the night you met, when you first said I love you, or when you he proposed?
2. If nothing jumps out at you think about your personality as a couple. Do you like sweet and romantic? country? rock? a little Usher?...
3. Google 'first dance song options', and listen to your normal music. Something will jump out eventually. Set a time to listen to a bunch of songs with your fiancé until you finally agree.
4. Pay close attention to the lyrics. Make sure there isn't any appropriate language-because that could make an awkward first dance.
5. Make sure the song is not too fast and not too slow. Practice dancing to a few songs. I have mentioned before I think it's wise not to dance to an entire song because people don't care to sit and watch that for five minutes. At my wedding I had all my dancing songs edited to around a minute so my "audience" didn't get bored.
6. If you are having a band or DJ ask them for some good ideas. They will have plenty of options. That is what they do for a living.
7. There are tons of songs to pick from. Don't leave it to the day or two before your wedding. If that's the case maybe you should skip the dance part because it goes to show you obviously didn't care much about it or you would've found something a long time ago.