I wanted to say 8-track, but it was my cousin's The Jazz Singer original soundtrack so it doesn't count. The first I owned was a K-Tel record, first (1983) in a series of top-10 hit records marketed in Latin countries, "Llena tu cabeza de rock" (fill your head with rock).

A-side:

1 MEN AT WORK • Down Under
2 BILLY JOEL • Allentown
3 TOTO • Rosanna
4 JOURNEY • Open Arms
5 SANTANA • Hold On
6 NINA HAGEN • Smack Jack
7 ADAM ANT • Goody Two Shoes

B-side:

1 ASIA • Heat Of The Moment
2 AFTER THE FIRE • Der Kommissar
3 SHAKIN' STEVENS • You Drive Me Crazy
4 SAGA • Wind Him Up
5 JUDAS PRIEST • You've Got Another Thing Comin'
6 REO SPEEDWAGON • Keep The Fire Burnin'
7 LOVERBOY • Working For The Weekend

My first cassette tape was Hemispheres, by Rush.

My first CD was Hysteria, by Def Leppard. I actually ruined my brand new Sony boom box from playing this CD at full blast. IT basically blew up the speakers.

As for digital music, I can't remember. I had hundreds of CDs, most ripped already so the first few songs I actually bought on iTunes were mostly out of curiosity about how the process worked.