Gosh, I can't recall exactly. One of the following:
Duran Duran Seven and the Ragged Tiger
Phil Collins No Jacket Required
Van Halen Jump
Scorpions Love at First Sting
Quiet Riot Condition Critical
I got them all around the same time after I got my walkman. And listened the heck out of each one. Phil Collins is still one of my favorite songwriters--his songs may have sounded popish, but the lyrics were all pretty deep.
First record: Steve Miller Band - Fly Like and Eagle
*First cassette tape: Made my own copy of TV show music using a Fisher Price tape recorder.
*First 8-track: An evangelical giveaway tape promoting Jews for Jesus.
*First reel-to-reel tape: Bootleg copy of Fleetwood Mac - Rumours
First CDs: Cream of Clapton, Return of the Jedi soundtrack, and Beethoven's 9th (purchased on the same trip to the music store).
I'm tempted to do a deep dig into computer backups and see if I can figure out what the first MP3 I downloaded was. 80% sure its something by They Might Be Giants.
Edit: Just realized I ignored the "bought" part for a couple of these. Oops.
I bought two (vinyl!) albums at the same time- Metallica's Master of Puppets and Marillion's Misplaced Childhood. Both bands (and albums!) remain in my music collection today, though I no longer have any vinyl, alas.