In the isolated auction of a single item, second price often dominates first price in properties of theoretical interest. But, single items are rarely sold in true isolation, so considering the broader context is critical when adopting a pricing strategy. In this paper, we study a model centrally relevant to Internet advertising and show that when items (ad impressions) are individually auctioned within the context of a larger system that is managing budgets, theory offers surprising endorsement for using a first price auction to sell each individual item. In particular, first price auctions offer theoretical guarantees of equilibrium uniqueness, monotonicity, and other desirable properties, as well as efficient computability as the solution to the well-studied Eisenberg-Gale convex program. We also use simulations to demonstrate that a bidder’s incentive to deviate vanishes in thick markets.