You don't even need perl for this, the unix text utilities are powerful enough.

If you don't mind that your files get sorted, you can use

join -t\| -v 1 <(sort first) <(sort second)
[download]

provided that your shell has process substitution.

(I don't want to cheat by using awk)

Update 2009 sep 2.

See Re^2: Joining two files on common field for a list of other nodes where unix textutils is suggested to merge files.