Given that 'first world' means 'US and its allies', that's clearly a loaded question. There was no war between second-world communist countries either.

If you take out the 'first world' bit, then yes, there's been plenty of war between democracies, including World War I: http://users.erols.com/mwhite28/demowar.htm

"First world" nowadays effectively includes much of the original "Third world" (such as Sweden, Finland, Austria, Switzerland, France, Yugoslavia or Mexico ).

How many of those communist countries were democracies though?

I think my point stands, it's pretty rare for democracies to go to war. If you take the example of WW1, I doubt many people would consider Germany to have been a democracy in our modern understanding of the word.

Anyway where's your evidence that the EU somehow prevents war?

There's nothing to stop the EU going to war with someone else (when they get a military) for starters.