Jquery Click Event Not Firing On First Click, but does on second click, why?

This is a longshot, but are you running some sort of tracking script? Like webtrends or coremetrics (or even some of your own script, that's globally looking for all clicks)? I ran into a similar problem a while ago, where the initial-click was being captured by coremetrics. Just a thought.

Does it still happen if you comment out all your code and simply have an alert("hi") inside the click function?

Update

I think Sarfaz has the right idea, but I would use the document ready function like so

$(document).ready(function(){
  $("a.reply").click(function() {
    //code
  });
});