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Neil Armstrong was the first (man) to walk on the moon.

Can I use this sentence without man, just "the first to walk." It might be grammaticly correct, but how does it sound?

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Let me be the first to tell you that it's grammatically fine and idiomatically quite ordinary. –  StoneyB Feb 15 at 3:11

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It sounds fine. You can use the first to do to mean "the first person (or people) to do something".

In your example, the meaning is slightly different; people will assume you mean the first person to walk on the moon, not just the first man, unless context suggests otherwise:

Neil Armstrong was the first (person) to walk on the moon.

People will figure out which word is left out from context. In the following examples, borrowed from an online article titled The First to Climb Mount Everest, the missing word would be the plural people, not the singular person:

The First to Climb Mount Everest
In 1953, Edmund Hillary and Tenzing Norgay Became the First to Reach the Summit

...

Many people still wonder if Mallory and Irvine might have been the first to make it to the top of Mount Everest.

I bolded the parts that match your pattern ("the first to verb").

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If you say, "Neil Armstrong was the first to walk on the moon," without saying, "man,":

  1. It's grammatically correct.

  2. It no longer specifies necessarily that he was the first man to walk on the moon, but basically says he was the first person to walk on the moon (although the word "man" in this particular sentence partially means "person").

  3. It would sound like you mean he was the first out of a certain set of people. What set of people? Whichever one you were just talking about. For instance:

There have been dozens of astronauts in the last century, and they've helped pioneer new frontiers for humanity. Neil Armstrong was the first to walk on the moon.

If you say this, everybody assumes that you mean Neil Armstrong was the first astronaut to walk on the moon. However if you just suddenly say:

Neil Armstrong was the first to walk on the moon.

everybody will wonder, The first what to walk on the moon? To some extent basic common sense will come into play here, and they'll still know what you're talking about in this particular case. Either way that grammatically means that he was the first of something to walk on the moon, and people will be able to figure out, in this case, that that something is either "astronaut", "person", "man", or something else like that. In general though it's bad form to rely on this, and if everybody doesn't already know the context pretty well, you should just go ahead and be specific.

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