The first player to be sent off at Wembley was Branko Stanovic, (wrong, see below) who was playing for Yugoslavia against Sweden in August 1948 during the Olympic Games soccer tournament. (Source: "News of the World" Football Annual 2006-2007, page 386.)
The News of the World has got it wrong again! According to the FIFA website, there were only three sendings off at the 1948 Olympic Tournament (2 Turkish and 1 Austrian) and these teams did not play at Wembley - see link - http://www.fifa.com/tournaments/archive/tournament=512/edition=197049/statistics/index.html (Only the semis, bronze play off and final matches were played at Wembley)
Unfortunately, I don't know who was the first player to be sent off at Wembley, but my guess would be Antonio Rattin who was playing for Argentina against England in the quarter final of the 1966 World Cup.
Incidentally, the first player to be sent off in a Wembley final was not Kevin Moran (1985) but Syd Hynes(playing for Leeds versus Leigh, 1971 Rugby League Challenge Cup Final).
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