I also train first thing in the morning, and basically have the same breakfast as hafedorov91--minus the splenda and the cinnamon (what is it with Americans and cinnamon, anyway!?). I also add a piece of fruit.
However, on leg day I change things up. I've never actually puked in the gym, but I've been close; so to avoid this I have a shake for breakfast, as it digests quicker. In case you're interested, I put the following ingredients into a blender and mix em until the neighbours start banging on the wall (I wake up at 5:30):
100gr of frozen strawberries
100gr of carrots
100gr of some other fruit, usually melon, nectarines or blueberries
10-20gr of rolled oats
10gr flaxseed meal or linseeds
6 ice cubes
30gr orange whey protein
300-400ml cold water
The carrots make it nice and thick, while adding little or no taste, so don't be afraid of them. I believe this shake comes in at around 400 kcals, and it gets me through my leg workouts with plenty of energy, while keeping the gym changing rooms clean If you're a big guy, you can always add some maltodextrin to increase the simple carb content, or more fruit. I'm about 80kg (176lbs), so that should give you an idea of what you'll need.
BTW, don't use milk, it'll just sit in your gut and slow down digestion. And this shake actually tastes better with water.