Hexadecimal is a numbering system that is also called base 16. In this numeral system, the numbers 0 through 9 are used. After that, the letters A through F are used instead of numbers with two digits. It is basically another way of using place values although with a different number.
The hexadecimal system is particularly important in computer programming, since four bits (each consisting of a one or zero) can be succinctly expressed using a single hexadecimal digit. Two hexadecimal digits represent numbers from 0 to 255, a common range used, for example, to specify colors. Thus, in the HTML language of the web, colors are specified using three pairs of hexadecimal digits RRGGBB, where  is the amount of red,  the amount of green, and  the amount of blue.

''What is the first documented case of it being used?''

{Which? RGB triples, hexadecimal, or RGB triples in hexadecimal?}

''HTML should have allowed percentages as a friendlier alternative/addition in my opinion. Example: ''

   <foo color="100%,0%,33.3%">  <!-- 100% red, no green, 1/3 blue -->
{You should do that in CSS and use rgb(255,0,85), but you're right -- percentages would be friendlier.  So would color("pale puce") or color("mauve") or color("the yellowish-white we used on the picture rail in the lounge but with a tinge of blue, maybe.").}

You can already do:

  <rd bgcolor="red"> ...
    <font color="indigo">

http://www.w3schools.com/html/html_colornames.asp

{Of course, but...  Where's "pale puce"?}
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See also HistoryOfHex, HexaDecimal