The Doctor Who episode "Sleep No More," season nine, episode nine, only had a brief highlight of the words "Doctor Who" on the screen, not the usual theme music and crazy opening title-sequence. Is this the first time that's been done on either the new (2005) series or the old (1963) series? I can't remember an instance right now, but that doesn't mean there haven't been any... Can any one name an earlier episode that forgoes the credits/theme? (At least one and the question's answered. Not after a list...)
Yes, Sleep No More was the first.
See e.g. this article entitled "Doctor Who Opening Titles Dropped For First Time Ever".
While "Sleep No More" is the first proper season episode to do this, it's not the first televised Doctor Who story to skimp on the titles, nor the most severe: while "Sleep No More" at least flashes the episode title in the end credits, the 2005 Children In Need special doesn't tell us its title at all. (And the experimental Big Finish audio story "LIVE 34" doesn't have that series' normal title or credit elements either.)