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Jefferson's was the first
Inauguration held in Washington, D.C. He broke precedent by walking to and from his swearing-in ceremony, rather than riding in a carriage as his predecessors did.
For the first time, a newspaper (the National Intelligencer) printed the Inaugural address the morning of the Inauguration.
The Marine Band played at the Inauguration for the first time. (It has played at every Inauguration since.)
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