Home side Villarreal, enjoying a dream debut in the competition after qualifying via the Intertoto Cup, had the better of a frenetic first half, matching Primera Liga leaders Valencia in midfield and creating a hatful of scoring chances.
But they were unable to cash in on their early domination and began to flag after the break, while Valencia stepped up a gear and came within a whisker of grabbing the winner when midfielder Ruben Baraja slammed a header against the crossbar in the 65th minute.
Villarreal, though, will remain hopeful of completing an upset against their more illustrious neighbours after they preserved their perfect home defensive record in European matches, keeping a clean sheet for a remarkable ninth time at their El Madrigal stadium.
Valencia will lose veteran Italian defender Amedeo Carboni for the second leg at the Mestalla on May 6 after he picked up a booking midway through the second half.
Newcastle United and Olympique Marseille also fought out a 0-0 draw in the other semi-final at St James Park earlier on Thursday.
"It was one of the most intense games we have played in the UEFA Cup this season," said Valencia coach Rafa Benitez. "It was played at a very high pace and I didn't enjoy the first half because Villarreal had too much of the play.
"We improved after the break but should have made more of our chances. Now it is up to us to try to complete the job in front of our own fans."
Opposite number Francisco "Paquito" Garcia said: "My players had a great game but we just lacked the finishing touch in front of goal. The good thing, though, is that the tie still wide open."
Villarreal, who knocked out experienced European campaigners Galatasaray, Roma and Celtic on their way to the semis, signalled their attacking intentions from the off and could have taken an early lead when Sonny Anderson shot over the bar.
Valencia were quick to reply and live-wire winger Vicente was denied in the 12th minute when Villarreal keeper Pepe Reina diverted his point-blank shot over the bar with his shoulder.
There was no respite as the two sides constantly traded attacks and wasted little time in midfield as they sought to catch each other out on the break.
Villarreal's Juan Roman Riquelme sent dipping a free kick over the bar and Valencia keeper Santiago Canizares had to react quickly to tip two in-swinging corners from Roger over the bar.
Valencia took control after the break as Miguel Angel Angulo and Vicente went close and Baraja rattled the bar.
Villarreal had to weather some intense pressure in the final 10 minutes as Valencia peppered the goal with a succession of shots from the edge of the area, but they held firm to leave the tie wide open for the return at the Mestalla.
