In Perl before 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 0
with the column you want to output.
For j_random_hacker, here is an implementation that will use very little memory (but will be a slower and requires more typing):
perl -lane 'BEGIN {dbmopen %h, "/tmp/$$", 0600; unlink "/tmp/$$.db" } print $F[0] unless $h{$F[0]}++' filename
dbmopen creates an interface between a DBM file (that it creates or opens) and the hash named %h. Anything stored in %h will be stored on disc instead of in memory. Deleting the file with unlink ensures that the file will not stick around after the program is done, but has no effect on the current process (since, according to POSIX rules, open filehandles are respected by the filesystem as real files).