Which is correct: I have taken first aid classes or I have taken First Aid classes?
In general, "first aid", but could be "First Aid" if that was the name of the courses or series of courses.
"First aid" refers to basic medical help that can be given to someone that is in medical distress by a lay-person. The term is a common noun, not a proper one.
If you had taken a series of classes and the classes or the series are called "First Aid", then you could use either the common noun version (to indicate you had taken some form of first aid classes) or the proper noun version (to indicate you had taken that particular course or series of courses).