Has any pitcher in a competitive Major League Baseball game ever struck out nine consecutive batters (in other words, the whole side)? Has anyone ever done this from first pitch, striking out the whole side in three innings?
Four pitchers have done it. This ESPN article from April 14, 2012 lists the following three occurrences:
Then on September 27, 2012, Doug Fister of the Detroit Tigers struck out 9 straight Kansas City Royals batters. (link)
Aaron Harang's nine straight strikeouts on April 13, 2012 came in the first 3 innings, after he gave up a single to the leadoff batter in the first inning. (link)