I can honestly say I don't think I've ever called my parents by their first names. The only time I need to use their names is when I'm talking to someone else outside of the three of us. So, I use Mom and Dad with them, and even with my roommate, and with her, it's just "So, I talked to Mom today," or "Well, Dad's being stupid again," because she's practically family and does the same to me.
When I'm hanging around like...aunts and uncles, or strangers, then I use their first names. But even then, with aunts and uncles, it can occassionally be "my mom."