First differentiated cell types in mammals are…

blood cells, “generated in early-stage embryos, for instance in mice in the yolk sac at embryonic day (E) 7.0.-7.5, just 2 or 3 days after the undifferentiated conceptus implants in the uterus.” Source: Ueno-Weissman: Blood lines from embryo to adult Nature 446, 996-997 (26 April 2007)