This article is from the College marching band FAQ, by Adam Elman firstname.lastname@example.org, Meredith McClurg email@example.com, Patrick Neschleba firstname.lastname@example.org and Craig Moe email@example.com with numerous contributions by others.
This is a matter of some debate (ah, understatement...). The Princeton
Band at one point claimed to have been the oldest college football
marching band, formed in October 1919. This has pretty much been
discarded, however, as quite a few schools in the Midwest had been
moving in that direction years earlier. What we _do_ know:
o Notre Dame, besides being the oldest college band in continuous existence,
(starting in 1846) was also on hand for Notre Dame's first football game
in 1887, but they did not march until an unspecified time later. They
have a history page at <http://www.nd.edu/~ndband/history.html>.
o Illinois has documentation of being the first marching band to spell words
(1910) and a letter in a parade (an I). They list these and host of other
stuff at <http://www.bands.uiuc.edu/MI/background/firsts.html>.
o Purdue first formed a letter on a football field in 1907 (a P), as they
say at <http://www.purdue.edu/BANDS/aamb/>.
So what does all this prove? Not much. The discussion has fallen out of
vogue on r.a.m.b.c.; maybe someday someone will actually produce some clear
evidence for a claim.