I started with action figures. It makes sense!
Back when I was a kid, we had lots of action figures. My brother and I would take turns chosing one of them to be the main character that we would control. Then the other would stay in the bedroom for hours setting up an intricate world that the main character would interact with, with an ultimate goal. There were no rules, and it was completely free form, but I would venture to call it roleplaying.
Now eventually we heard about D&D and actual roleplaying games. We weren't sure about it, had no idea how to get our hands on one of the books, but we heard that there were these special many sided dice. Neat! So at Walden Books one day we saw a set and bought it. (They didn't carrry D&D as far as I know, we didn't see that, and really wouldn't have known what it looked like anyway.)
So, we had these dice, but we really had no idea what they were for. What we did have was Final Fantasy. So, we did the next best thing. We wrote our own RPG and played it. I still have character sheets from that RPG. I created an entire setting, rules, stats, the works. Well there were only two stats and we just made up spells as we went along, and some numbers just got insanely high, but it was fun darn it. I was like 11, gimme a break.
Finally, finally, I got the AD&D 2nd ed. PHB. I don't remember how I got it, actually. My parents were iffy on the whole D&D thing; I was about 15 at the time, this was around '95 actually (thanks, you guys make me feel so young

). I didn't know of any groups, so I read the PHB (no DMG, no MM) and started my own game with people who had never played before. Talk about green! We made mistakes that make what you see on ENW look brilliant. The chart for HD, for example, I misinterprieted. I thought you rolled 1 die at 1st level, then at 2nd you rolled 2 more, then at 3rd you rolled 3 more, etc. By 5th level the PCs had... um... a lot of hp and I never understood what was wrong. They were just so unkillable! But, I digress.
Eventually, I figured things out, and became a rather good DM (on player testimony). It wasn't until two years ago that I actually got to be a player, even. I jumped right in as the DM. Quite the ride.
So, that is how I joined the hobby.