The balance of historical opinion seems to be that no such "right of first night", "prima noctis" or "droit de seigneur" ever existed--at least so far as would entitle a feudal superior to have sex with the bride on her wedding night. Feudal lords had many rights as against those who were vassals and villeins, but those rights had to do with property, labor and military service, i.e. knights, or tacksmen obliged to fight for their superior.

Despite the lack of any historical evidence that such a practice existed, the concept and myth has persisted in popular culture for centuries. A good summary of the myth and its propogation can be found in the Wikipedia entry, here: http://en.wikipedia.org/wiki/Droit_de_seigneur .
The entry has some interesting citations, including this entertaining and informative article, entitled The Straight Dope: Did medieval lords have "right of the first night" with the local brides?: http://www.straightdope.com/columns/...e-local-brides

Short answer: No.