Which was the first set / minifig with two faces to choose from?
A quick search on Bricklink gives the following results:

Catalog: Parts: Minifig, Head: Search Results for dual sided


Unknown year (41) 
2001 (1)
2002 (10)
2005 (4)
2006 (7)
2007 (4)
2008 (4)
2009 (18)
2010 (27)
2011 (43)
2012 (86)
2013 (90)
335 Total Parts (View All)


This search was caried out at http://www.bricklink.com

Assuming that the Bricklink data are complete and correct, there are 41 double sided heads without a known release date, and the trend seems to have started in 2001 with this one:


Minifig, Head Dual Sided HP Quirrell / Voldemort Pattern