更新，忘了加题目的ABCD限制了=w=

用聚集函数：

SELECT  uid,
        consume_type,
        MIN(consume_time)
FROM    consume_record
WHERE   uid = '1'
        AND
        consume_type IN ('A','B','C','D')
GROUP BY consume_type;

http://sqlfiddle.com/#!2/baee0/1

不用聚集函数：

SELECT  r1.*
FROM    consume_record r1
        LEFT JOIN
        consume_record r2
        ON  r1.uid = r2.uid
            AND
            r1.consume_type = r2.consume_type
            AND
            r1.consume_time > r2.consume_time
WHERE   r2.uid IS NULL
        AND
        r1.uid = "1"
        AND
        r1.consume_type in ('A','B','C','D')
;

http://sqlfiddle.com/#!2/baee0/3

select uid, consume_type, min(consume_time)
  from consume_record r
 where r.consume_type in ('A', 'B', 'C', 'D')
   and uid = ?
 group by uid, consume_type

SELECT 
    *
FROM
    consume_record AS S
WHERE
    uid = 1
        AND consume_tpye IN (A, B, C, D)
        AND S.consume_time >= ALL (
            SELECT 
                consume_time
            FROM
                consume_record
            WHERE
                id = 1 AND consume_type IN (A, B, C, D)
        );