A slightly convoluted story here, but it's also at least a more recent convoluter story.
For a birthday in 1991, I received "Space Crusade", the Games Workshop/Milton Bradley sci-fi board game. I had apparently been eyeing it up for ages beforehand (I do remember the TV adverts for it and HeroQuest, and looking at the box pictuers in shops) so I was uber thrilled to receive it. My family were a bit confused by all the rules but they did their best to play it with me, and there's a rather cute picture of a smaller GQuail pnchign out blip tokens whilst an aunt looks bemused at the various dice therin. :>
Thes ame Aunt who got me this present later told me about the existence of Games Workshop (I have no idea how she kenw this: she's far too trendy for that sort of thing

) and I went in and bought one of the SPace Crusade expansions from there. From there I slowly got into the GW wargames, starting out with Man O War. I remember seeing Warhammer Fantasy Roleplay, but by the time I was getting into it it was somewhat sparesly supported to say the least.
Well, knowing I was into these sorts of games tended to lead my relatives to pick up various kinds of presents for me, so I started getting all kidns of stuff: including, whyen I was around 10 or 11, D&D. I can't remember if the Dragon Quest box (which I think someone mentioned earlier: dungeon room board, loads of counters anmd mosnter stats/treasure on cards) or the BD&D Red Dragon/Zanzer Tem adventure was my first, but I had both before I went to secondary school. I rarely played them because I was an only child and didn't really have a huge amount of after-school friends: but I did own them, and would often design my own dungeons much as I had for Heroquest & Advanced Heroquest beforehand.
I picked up other RPGs whilst at secondary (Star Wars D6, Street Fighter and even 3rd edition: I have no recollection of when and how I bought the core rules, because it seem sunlikely I got all three on a spur of the moment, but maybe I just had an awful lot of money that week ;-) ) but only properly started to play them when I went to University, and found a gaming society which gave me a horde of players and GMs.
Since then I've discovered a proper FLGS (before that, eitehr normal bookstores or Forbidden Planet were my main outlets: though I do remember when I played Magic noticing that Virgin sold RPG products, I never bought any there. Changed days, eh?) Thankfully, an ever-growing collection of OOP products means I can pull out a 1st ed PHB or an early Paranoia book and pretend I was into RPGs before they were cool. ;-)