Album - My mum still has my first kid's record. Some Dougal the Dog Magic Roundabout Album. Anyone who says there first album/record/cd was Radiohead/Led Zep/Nirvana blah blah is a goddamn liar or was an orphan.
Cassette - I definitely remember my first cassette as this monster record from when I was about 7. Hot Chocolate.
CD - My $400 Pioneer dual disc CD player's first cd bought in 1988 (freshman Summer) Love and Rockets - Express.
MP3 - Don't remember wut I first stole. Probably just downloaded some old hit like Mexican Radio by Wall of Voodoo just to see how the [censored] worked.