Which gift should I choose for my first play-through of Dark Souls?

As of Patch 1.05 it is possible to buy the Master Key from Domhnall of Zena for 5000 souls, after you beat Blightown.

There are two items I would suggest:

• Master Key: This will allow you to get into multiple places earlier. It is possible to buy this in-game, but not until much later into the game (by which point you may not find a use for it anymore).
• Black Firebomb: This will allow you to easily kill the Asylum Demon the first time you see him in the Undead Asylum. Doing so will grant you the Great Demon Hammer.

The consumable items have no importance, and are a complete waste of a starting gift in my opinion, except for the fire bombs.

In response to your second question, starting as thief and choosing the master key would result in you having two master keys.

I find that the Black Firebomb is a good choice for a first playthrough. It will allow you to kill the first boss in the game easily without fleeing, thus scoring you a powerful item. Having the strength to swing it is another matter.