This is a very fast and clean way of doing it. It also supports empty columns where as none of the answers above worked for empty columns.
Usage: SelectFirstBlankCell("F")
Public Sub SelectFirstBlankCell(col As String)
Dim i As Integer
For i = 1 To 10000
If Range(col & CStr(i)).Value = "" Then
Exit For
End If
Next i
Range(col & CStr(i)).Select
End Sub