I know with words determining somehow the order of things I should use the definite article. But I would say it depends on the context. Is the following correct?
This is a first discussion out of many that I am planning.
Could this be right when the audience did not know I was planning these discussions?
If not, why the following is fine:
...if you are buying a first car.
The best way to say this would be:
This is the first discussion out of many I am planning.
It really doesn't matter if the audience already knows you were planning the discussions or not. We typically use the instead of a(n) where there is only one of something, and, when something is "first", there is only one of it.
If there is more than one, however, we would use an indefinite article, like this:
This is an early discussion out of many I am planning.
(This could be referring to the first meeting, or the second or third.)
But, when there is only one, we go back to the definite article:
This is the earliest discussion out of many I am planning.
As for phrases like:
If you are buying a first car...
that works because we are using the phrase [a first car] to mean the first car that one particular person will purchase. Because the article would be read my many people, though, there really isn't one and only one first car. Your first car is not the same first car as my first car.
Note that, while a first car can be found, the number of occurrences is dwarfed by the phrase the first car.
Remove "out" and it's fine:
This is the first discussion of many that I am planning.
