One of the grim traditions associated with the beginning of the Christmas shopping season, especially since Black Thursday/Friday "doorbusters" have generated madness with a false sense of scarcity (here's more on how Black Friday makes behavioral psychologists want to cry), is the annual roundup of fights, stampedes, and blood shed by Mammon. In 2006, it included an assault in a Best Buy in my hometown of Roanoke; in 2008, a death, believed to be the first on Black Friday.
Anyway, it's the day after Thanksgiving and I am feeling both oversatiated and lazy, so I cannot claim this is the first Christmas-shopping-throng fatality in American retail history, but 1911 is pretty early. This is from the Chicago Tribune, on December 24, 1911. Black Friday actually has its origins in trying to combat the crush of shoppers that would hit stores just before Christmas, instead of weeks before it.