My first was Red Box D&D, bought from a little boutique D&D store called Game Masters in the basement of a local mall. It really felt like it was originally a large basement area that they put in a single set of escalators and subdivided into stores to have more room. Called it "The Village Mall". Anyway, all of the stores were really tiny, and they had a shared space for events that all of them paid towards and could reserve. It was mostly in use by the Christian Reading Room whom had decorated it and were likely unhappy about us playing D&D there on weekends as it was during the "Satanic Panic".
Later when I got into AD&D our local Toys R Us carried the books, and cheaper. As a teen with a paper route I would buy the hardcover books there because I had no money - shades of amazon - but I still went to Game Masters for everything else.
In a strange turn, Game Masters later moved up to the main mall, then to an outside store, at some point were sold, moved to another store, were sold again, and were later bought yet another time - by a friend of mine who used to game with me down in that basement. He even found part of the original Game Masters sign in the storage room. He moved it again, and eventually amazon drove it out of business.