Quite a few royals served in WWI on all sides and Archduke Ferdinand would *technically* be the first casualty.
Britain's Prince Albert was a Midshipman aboard HMS Collingwood during the battle of Jutland.
Britain's Prince Maurice of Battenburg (family later changed their name to Mountbatten) served in the King's Royal Rifle Corps and was killed at Ypres.
There's many others, but these two come to mind at the moment.