Perhaps the earliest science-fictional flying saucers were in the 1887 novel Bellona's Bridegroom: A Romance (aka Bellona's Husband: A Romance) by "Hudor Genone", pseudonym of William James Roe. At any rate, that's the earliest of four stories listed under "flying saucers" in the Motif and Theme Index of Everett F. Bleiler's Science-Fiction: The Early Years. Here is part of Bleiler's review:
A fanciful ideal society. * The narrator is Archibald Holt, a rather stupid middle-aged man who invests money in Professor Ratzinez Garrett's hydrogenium, a metallic form of hydrogen that is so light as to amount to antigravity. Garrett builds a flying disk using hydrogenium as a lifting agent, and Holt, Garrett and a third character (Trip) set out for Mars. * As they pass Phobos and Deimos they see that they are abandoned flying saucers much like their own. They later learn that the space craft came from Jupiter or Saturn, and that similar saucers have visited earth, but have flamed or crashed on entering the atmosphere. * The terrestrials land on Mars, which is like the eastern United States, and find a completely human race that speaks English. At first Garrett postulates that the similarity is due to colonists from earth (and is upset at the possibility that his patent may be invalid), but later decides that the similarity is the result of parallel evolution.
The first flying saucer movie was The Flying Saucer, released January 5, 1950. Wikipedia says:
The Flying Saucer is the first feature film to deal with the (then) new and hot topic of flying saucers. Flying saucers or alien craft shaped like flying disks or saucers were first identified and given the popular name in 1947 when on June 24, 1947, private pilot Kenneth Arnold reported nine silvery, crescent-shaped objects flying in tight formation. A newspaper reporter coined a snappy tagline: "flying saucers" which captured the public's imagination.
All right, so that's the first flying saucer movie. What about television? I wonder if Captain Video had any flying saucers before 1950?