First albums I ever had... Winnie the Pooh & Tigger, Too and some Chip 'N Dale record.  Xmas presents when I was 3 or 4.  I still have both.
First album I had when I liked music... Barbra Streisand's GH vol. 2.  Given to me by my parents not long after I got my first turntable...at 8 or so.  Still have it.
First album I bought for myself.  1980.

...still have it.
first CD(s) - bought on the same day in...?  1986?
Bob Seger - Like A Rock (HAD to have that live "Fortunate Son" and it wasn't on the cassette or vinyl)
Dire Straits - Making Movies (still one of the greatest albums, ever)
...still have both.  =)