If I have a heron on a battlefield and for my first card I discipline my heron but my opponent uses defy and that resolves. Do I still have the discount for the next card?

No — the discount never triggers, because Discipline was countered and never resolved.

Heron's trigger checks whether your first card completed resolution (Rule 419.4.a), and a countered card is not considered played for abilities that trigger on cards being played (Rule 425.1.b). Your opponent's Defy resolves first, clearing Discipline off the chain, so no card of yours has resolved and no discount is created. The Defy doesn't count as "your" card either.

If you then play something else this turn and it resolves, that becomes your first card to resolve — Heron fires at that point and the discount applies to the next card you play after it (FAQ #11762).