Is it possible to file with PCT without filing for a national application first? My search on the web so far indicates yes, but the recommended route is to file a national/regional application first before proceeding to PCT within 12 months (ex. this link from WIPO http://www.wipo.int/export/sites/www/pct/en/seminar/basic_1/timeline.pdf). What are the disadvantages of proceeding with a PCT filing first? I am assuming that the priority date in this case would be the PCT filing date.
If the first application you file is a PCT application its filing date will be the priority date for everything that flows from the PCT filing. You can take advantage of that priority by entering national stages in select countries (within the 30 or 31 month deadlines). There are a few countries that are not contracting states with the PCT - Argentina and Taiwan, for example.
As is mentioned in multiple comments, a PCT application is more expensive than a national application and there are some pitfalls that can make it even more expensive. If you are planning on doing this by yourself I would recommend filing it as a national application. An example of a PCT gotcha is that if you chose the EPO as your ISA, they can let you know that they do not search in the subject matter area of your claims and, "thank you we will keep your 2k search fee".