Does Mike Pence count as the first presidential candidate of the 2012 cycle to drop out of the race?
Before 1972, it's hard to identify the universe of presidential nomination candidates, because there was no required public action for candidates up to the convention. Yes, after the Progressive era, there were some presidential primaries, but even then, it was possible for an absolutely bona fide candidate to never actually have his name entered into nomination; he might have been holding back, waiting for the convention to deadlock, only to see someone else selected on an early ballot.
In the modern era, it was a lot easier to spot real candidates: campaign finance rules, along with the necessity of entering primaries including especially the New Hampshire primary, made it essentially impossible to run for president in the election year without taking formal action.
However, as party elites learned how to determine nominees in the 1980s and 1990s, it became trickier again. Nowadays, much of the action in presidential nominations takes place more-or-less behind the scenes, and well before the year of the nomination. Endorsements by politicians and party-aligned groups, staff and activist recruitment, and other such activities begin, realistically, about the same time that a party's previous nominee concedes defeat (or, in the case of a term-limited president, even earlier; Republicans probably started running for 2008 before the 2004 election, and Al Gore, at least, began the 2000 race before November 1996).
As a result, it's become common for politicians to begin doing the things that candidates for the nomination will do, and then drop out well before the voters get involved in the Iowa caucuses. Sometimes, those candidates formally announce that they're in: Pete Wilson in 1996, Dan Quayle and Liddy Dole in 2000. Sometimes, they won't. Campaign announcements are a tactic (it gets a flurry of publicity, and may convince some potential supporters to take the plunge), not a requirement, at least not until campaign finance laws and the need to file for primaries kick in.
Notice that losing is never that simple. Sure, Joe Biden, for example, dropped out after losing in Iowa in 2008. But that's not "losing" the nomination in any kind of formal sense -- that doesn't really happen until the convention, no matter how certain it is long before that. And so dropping out after losing in Iowa doesn't seem at all different in principle to me from dropping out after losing the Ames straw poll (on the GOP side), or dropping out after realizing you will lose the Ames straw poll, or dropping out after realizing that you're just not attracting any support as you campaign three years before the election.
So, did Mike Pence run for president? Did Mark Warner and Evan Bayh run in 2008? Did Mario Cuomo run in 1992? Are Sarah Palin and other unannounced politicians running for president right now? Granted, this is a question which is, in large sense, academic. But it does raise questions that are presumably of great interest to practitioners and citizens: At what point in the four-year electoral cycle to nominations "really" get made? What sort of candidates win nominations? Who should the press cover?
My own sense of these things is that most, and perhaps all, of those mentioned above did in fact run for president. But I have no idea how to construct a proper set of criteria to distinguish "running" from "considering." Perhaps, in the current era, the dichotomy between candidates and noncandidates just breaks down, but I think it's worth attempting to salvage.