The first cassette tape I bought was the Dumb & Dumber soundtrack (I also grabbed a Power Rangers walkman to listen to it on).
First CD: Nine Inch Nails - Broken. I then bought Coolio - Gangsters Paradise. My friend gave me a copy of Metallica's Black Album next (just the CD no artwork or anything...which wasn't too uncommon back in the day).
Ahh the days of 200CD holders. Anyone old enough to remember those giant binders people would lug around at school?
I actually just bought a 320disc folder for movies yester!