Sorry I don't collect Marvel. DC had a action figure line called First Appearance, that had the first appearance mini comic in the packaging. It was really cute. I got the Nightwing one because I just love Disco Nightwing.
I am not much of an action figure collector either and cannot find a website that list them either. I am basically useless this morning. Anyway these were NOT the released mego figures that I keep seeing, they were just regular action figures that came with a stand and in the costume of their first appearance. They also had a line call Origins that had two figures, one with the original and one with the new costume. That may have came with a comic too.
I would think Marvel did the same with a toy line too.
Edit: I found a link:
http://www.wackystacker.com/DCComics.html