I started off listening to GnR, but my first true Metal album was Pantera's Far Beyond Driven in 1995. At first I didn't know what to think of the "wet" sound of Vinnie's bass drum. Shortly after that, it was the debut CD from Down. That's all it took to get me hooked.
My first was ...Silence by Sonata Arctica. I really liked power metal, but that was before I even knew what metal was, if that makes any sense. I saw SA live this February and they were great but it wasn't until this May or so that I actually started getting into more metal and now my tastes are pretty different.
My Dad was into metal, so around the house we had a lot of Black Sabbath, Led Zeppelin, Metallica, Megadeth etc. I hate to say this, but the first tape I personally bought was poison, in '89. I was six though. When I started getting really into Metal myself I bought a bunch of shit from columbia house. Fear Factory, Rammstein, Tool, Napalm Death, Type o Negative, and (ugh) Marilyn Manson.