While creating a new clone theme, I need to get the URL of the first link found in the post content. Fortunately, there is a read-to-use snippet in the default Twenty Eleven theme. If you are using Twenty Eleven, then you are all set up, otherwise add following to your functions.php.

/**
 * Return the URL for the first link found in the post content.
 *
 * http://clonetemplates.com/?p=536
 *
 * Return string|bool URL or false when no link is present.
 */
function ct_url_grabber() {
	if ( ! preg_match( '/<a\s[^>]*?href=[\'"](.+?)[\'"]/is', get_the_content(), $matches ) )
		return false;

	return esc_url_raw( $matches[1] );
}

Usage:

<?php echo ct_url_grabber(); ?>

Be noted that this function has to be used in the loop.