These are way too specific to apply to anybody but me. But I enjoyed reading yours, so if you have any other firsts you'd like to share, or if you want to know any more of mine let me know.
First favorite movie: Back To The Future
First movie to make me cry: Willy Wonka And The Chocolate Factory
First video game I ever bought with my own money: Donkey Kong for the Game Boy
First CD I ever shoplifted: The Crow: City of Angels Soundtrack
First song I learned to play on guitar: Red Hot Chili Peppers - "Under The Bridge"