This is a bit tough… Given the particular wording of your question, I'd go with Superman. He's the first archetypical "superhero" who appeared in comic book form, at least in the US… 
According to Wikipedia[*], the French once again beat us to the punch with a fella called the "Nyctalope": 
As far as other possible "first placers", you have all manner of costumed superhumans or "ultimate" humans –
- The Phantom,
- The Shadow,
- The Spider,
- Doc Savage,
- Tarzan,
- Zorro,
- The Green Hornet,
- etc…
– all of whom, if they magically dropped out of subspace in the Marvel or DC Universes, would be instantly recognized as "Superheroes", or possibly "Super villains" in some cases.
Nevertheless, just about all of the other candidates appeared first in print books and magazines, comic strips, and radio dramas, and most did not take a strong stand in the comic book format until well after Superman had led the way as a groundbreaking title in the genre/medium in 1938 in Action Comics #1.
[* It's actually a great Wikipedia entry: http://en.wikipedia.org/wiki/Sup…
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