Extract first letter of each word, also after a special character like a dash

The datatool package provides \DTLinitials. For example:

\documentclass{article}

\usepackage{datatool-base}

\begin{document}

\DTLinitials{This is a test of the Emergency Broadcast System.
This-Test. for sample. This T.}

\end{document}

This automatically inserts a period after each initial, but that can be prevented by redefining \DTLafterinitials, \DTLbetweeninitials and \DTLafterinitialbeforehyphen to do nothing.

\documentclass{article}

\usepackage{datatool-base}

\renewcommand*{\DTLbetweeninitials}{}
\renewcommand*{\DTLafterinitials}{}
\renewcommand*{\DTLafterinitialbeforehyphen}{}

\begin{document}

\DTLinitials{This is a test of the Emergency Broadcast System.
This-Test. for sample. This T.}

\end{document}

If you need the initials in an expandable context, you first need to use \DTLstoreinitials, which will save the initials in the command provided in the second argument:

\DTLstoreinitials{This is a test of the Emergency Broadcast System.
This-Test. for sample. This T.}{\initials}

\initials

Edit: if you also want to remove the hyphen from the initials, just redefine \DTLinitialhyphen to do nothing as well:

\renewcommand*{\DTLinitialhyphen}{}

Edit2: Note that \DTLinitials is designed primarily for names (its original purpose was for use with the abbreviated bibliography style provided by databib) so it assumes its argument is a series of letters separated by spaces or hyphens. Additionally from the manual:

Be careful if the initial letter has an accent. The accented letter needs to be placed in a group, if you want the initial to also have an accent, otherwise the accent command will be ignored.

So, as per your comment below:

\DTLinitials{{\"{O}}zg\"{u}r}

Or use XeLaTeX or LuaLaTeX with UTF-8 characters. This is similar to the limitations on \makefirstuc (from mfirstuc)

Also from the datatool manual:

In fact, any command which appears at the start of the name that is not enclosed in a group will be ignored.

This means that, say

\DTLinitials{\MakeUppercase{m}ary ann}

will produce m.a. not M.a.

Updated to remove the dash from the display. (the [ ..]` are there just for illustration. Can be easily removed also if not needed)

\documentclass[11pt]{scrartcl}
\usepackage{luacode}
\begin{luacode*}
function firstletters(arg)
   local i;
   local str="";
   for word in string.gmatch(arg,"%S+") do    
       str=str.."["..string.sub(word, 1, 1).."]";
       i=string.find(word,"%-%S+");
       if i ~= nil then      
          str=str.."["..string.sub(word, i+1, i+1).."]"
      end        
   end
   tex.print(str);
end
\end{luacode*}

\newcommand{\firstletters}[1]{\luadirect{firstletters(\luastring{#1})}}

\begin{document}
\firstletters{This is a test of the Emergency Broadcast System. This-Test. for sample. This T.}
\end{document}

---

Original solution

a lualatex solution (I kept the dash there in the output, but it can easily be not displayed if not needed)

\documentclass[11pt]{scrartcl}
\usepackage{luacode}
\begin{luacode*}
function firstletters(arg)
   local i;
   local str="";
   for word in string.gmatch(arg,"%S+") do    
       str=str.."["..string.sub(word, 1, 1).."]";
       i=string.find(word,"-%S+");
       if i ~= nil then      
          str=str.."["..string.sub(word, i, i+1).."]"
      end        
   end
   tex.print(str);
end
\end{luacode*}

\newcommand{\firstletters}[1]{\luadirect{firstletters(\luastring{#1})}}

\begin{document}
\firstletters{This is a test of the Emergency Broadcast System. This-Test. for sample. This T.}
\end{document}

Here is a solution based on classical TeX only:

\def\firstletters{\bgroup \catcode`-=10 \catcode`(=10 \filA}
\def\filA#1{\filB#1 {\end} }
\def\filB#1#2 {\ifx\end#1\egroup \else#1\expandafter\filB\fi} 

\firstletters{This is a test of the Emergency Broadcast System. 
   This-Test. for sample (per se). This T.}

\bye