In perl to 5.10
perl -lane 'print $F[0] unless $h{$F[0]}++' filename
In Perl after 5.10
perl -anE 'say $F[0] unless $h{$F[0]}++' filename
Replace 0with the column you want to output.
For j_random_hacker, here is an implementation that will use very little memory (but will be slower and require more input):
perl -lane 'BEGIN {dbmopen %h, "/tmp/$$", 0600; unlink "/tmp/$$.db" } print $F[0] unless $h{$F[0]}++' filename
dbmopen DBM ( ) % h. , % h, , . unlink , , ( POSIX ).