How can we make use of Data Extension Default value for field names like first name? Will the default value applies if the first name is empty?
I feel weird having such a short answer, but yes, it will. That is the purpose of a default value. If there is no value there, it will default to the value you provided. This is great for non-nullable fields to allow for import without requiring a value in that field and for providing an easy to search value for nullable fields to find out who does not have custom info in that field.
about defaults straight from the help pages for SFMC (https://help.exacttarget.com/en/documentation/exacttarget/subscribers/data_extensions_and_data_relationships/):
'Required fields without a value will be set to an appropriate empty default for the data type (text will default to '', numbers to 0, Booleans to false, and dates to current date). Non-required fields will receive a null value. A notification will be sent once per job when this occurs to the notification email address of the owner of the send.'