Gamasutra reports that the first 360 to hit a million copies sold is, unsurprisingly, Call of Duty 2. From the article:
"The World War II themed first person shoot 'em-up was already the best selling title available at launch in the U.S. and is now officially the best selling title of all time on the format, as well as being the most popular Xbox 360 game on Xbox Live. Although console launches have traditionally been dominated by first party releases this convention has proven less true in recent years with LucasArts' Star Wars: Rogue Leader - Rogue Squadron II (also published by Activision in Europe) proving to be the best selling title at the launch of the GameCube. Sony meanwhile, has rarely relied heavily on first party titles for any of its console launches."