My first was Red Hat 7.x out of the back of a book I bought at Barnes and Noble. I got a number of later Red Hat distros the same way, largely because downloading ISOs isn’t an option when you’re on dial-up.
The first set of ISOs I did download was for Slackware. Can’t remember the version, but I ran it until a hard drive died. Kinda lost the ability to run a full-size distro without a hard drive.
(At some point prior to Slackware I fooled around with OpenBSD. Not entirely relevant, but true.)
Damn Small Linux (DSL) was next. That worked extremely well and got me hooked on package management as a concept.
After I got a new hard drive I looked at Debian but the install process was too much of a pain in the ass. Remember that I’m coming from Slackware and OpenBSD at this point, with MS-DOS in my more distant history. So, no, I refuse to see this as my fault. Back then, Canonical was still giving away free Ubuntu DVDs so I ordered one. I got it in the mail and I've been using Ubuntu ever since. I think it was either Dapper or Edgy.
Also: I’ve been using the same window manager since Slackware. Window Maker just fits me.