this problem is killing me (UCK!) and I just filed this bug report (pasted below) on the MacBook feedback page - testing it just now on the text entry fields to post this message, I see that clicking 2x into a field before starting to type seems to consistently work OK (no missing first character) so I guess I'll be developing that neurotic habit...
FEEDBACK to APPLE
"I've heard that maybe this is a known issue - and I'd like someone to reply letting me know whether or not it is.
Ever since I got this machine a couple of months ago, I've had a problem where much of the time when I first click into a text entry field or text entry window, the first character I type is not being entered somehow. At first I thought I just needed to get more used to the keypad on this machine, but I'm now convinced this is a more real problem than that. When searching online I read about an issue of the trackpad or keyboard becoming unresponsive for long periods of time, but that has never happened to me. Nonetheless, I tried it with the "Ignore Accidental Input" set both ways, downloaded and installed all the updates, etc. but the problem persists. Though in some way it may seem like a trivial issue, for someone who uses the machine as much as I do it's not trivial at all - it's extremely frustrating.
Searching the forums just now as I write this I see I'm not the only one experiencing this problem, and replacing the keyboard doesn't seem to fix it - so it's either a design flaw or software problem...
http://discussions.apple.com/thread.jspa?threadID=1356337&tstart=0
Model Name: MacBook Pro
Model Identifier: MacBookPro3,1
Processor Name: Intel Core 2 Duo
Processor Speed: 2.6 GHz
Number Of Processors: 1
Total Number Of Cores: 2
L2 Cache: 4 MB
Memory: 2 GB
Bus Speed: 800 MHz
Boot ROM Version: MBP31.0070.B05
SMC Version: 1.18f4
Serial Number: W87471V5XA9
Sudden Motion Sensor:
State: Enabled
System Version: Mac OS X 10.5.1 (9B18)
Kernel Version: Darwin 9.1.0
Boot Volume: Macintosh HD
Boot Mode: Normal"