Pshhhhaaa. You mean first TAPE.
And it was Prince's "Batman Soundtrack" ... followed up soon after by Michael Jackson's "Bad."
First CD was Nirvana's "Nevermind."
First borrowed CD was Blink's "Dude Ranch" ... that changed everything.
First burned CD was The Ataris' "Blue Skies..."
First mp3 every downloaded? Flagpole Sitta by Harvey Danger (followed by some New Found Glory songs).
I'm pretty sure flagpole sitta was the first MP3 I downloaded as well! I remember being obsessed with that song and just listening to it on repeat, in really bad quality on that old crappy MP3 player on the PC where you could change the skins into numerous, equally horrific designs. I wish I could remember what it was called.