Are there events in universe which we receive first from their neutrino's instead of their photons? Neutrino's are very small though they have mass. Because of that it is probably that the don't have a speed faster than photons.

But is it in all events, like supernova's or else events, where it is possible that we first receive their neutrino's instead of their light? 

Perhaps gravity or other interactions could change something in their way to earth?
Yes.  When a core collapse supernova happens, it takes a few hours for the shock wave to reach the surface and "break out" (when we first "see" it). Meanwhile, the neutrinos can escape nearly directly once they reach the top of the core.

Of course, as you wrote, photons travel slightly faster, so if the SN is far enough away, the photons might overtake these neutrinos.  However, I have not done the calculation to see if the universe is big enough.