The first two extreme metal songs I heard were Dimmu Borgir's "Progenies of the Great Apocalypse" and Opeth's "Demon of the Fall". I also downloaded Opeth's cover of "Circle of the Tyrant", and it wasn't until a couple years later that I learned it was a Celtic Frost song. I downloaded these songs for some reason back in early 2003.
My first extreme metal album was Borknagar's Quintessence, back in the autumn of 2005. I bought it along with their Archaic Course album and Arcturus' Sideshow Symphonies. I bought Borknagar's Empiricism the next day.
I still remember that first extreme metal shopping trip. I went with Cookiecutter and his father to the Newbury Comics and Tower Records in Burlington, Massachusetts. Nick bought Behemoth's Demigod, Amon Amarth's Fate of Norns and Bolt Thrower's Those Once Loyal.