The D&D Expert Set (4th Printing, I think - Blue Box w/Elmore art of a mounted fighter charging a dragon on the cover) started it for me. I also got DA1 - Adventures in Blackmoor.
Ah, memories... we played out of those books for a year or so before getting a buttload of modules and the rest of the boxed sets. A year or so after that, I got the FF, MM, DMG, PHB (1st edition) and a small paperback version of D&Dg (curse my luck, I lost that one).
Have since accumulated enough RPG products to fill a couple of 10' high bookshelves and then some... to say nothing of my hard disk's PDF collection... ;-)
--The Sigil