John Belushi was the first celebrity death I remember. My parents were big Saturday Night Live fans, and I was familiar with the Original Cast, even as a little kid. I also remember Andy Kauffman’s death.
My mom was a big Beatles fan, but I don’t remember John Lennon’s death at all.
And I was only two when Elvis died, so I don’t remember that either.
Infamy.
The first celebrity death I remember was Martin Luther King.
Damn, this is going to make me sound young, but the first celebrity death I really remember is River Phoenix.
The first death I remember being really shocked by is Princess Diana. It was several days before I could really grasp that she was gone. Even today there are times that I have to remind myself that she has died.
FTR, I’m 28.
I can understand why you would remember it as a Saturday, but it was actually a holiday – New Year’s Day. The plane went down late the night before on a Tuesday. I was married the next day and that’s the reason I remember.
For me Audrey Hepburn’s death was hard to take. I believe that it happened about the time that Bill Clinton was sworn into office – perhaps the same day.
I think Paul Wellstone’s death is the one that’s affected me the most. Most of the other famous deaths that affected me were expected and didn’t come as a shock.
I hope this won’t embarrass you, but…you’re so sweeeet. 
I guess the earliest one I remember was Roberto Clemente’s plane crashing while he was on a mission to help earthquake victims. That was rather a bummer. John Lennon’s murder may have hit me hardest, though it actually hurt more later, as I was not that much of a Beatle fan at the time.
I remember hearing a couple of girls on the street discussing another celebrity death a few years back, something like–
Amber- “John K_n d_y died”
Brittany- “No way”
Amber- “Seriously, I saw it in the paper!”
Brittany- “JFK Junior?”
Amber- “No, John Candy”
Brittany- “Oh, who cares?”
Elvis…died?
But I just saw him last year on the cover of the National Examiner and he looked fine.
River Phoenix is maybe my earliest celebrity death memory, then Kurt Cobain. Since then there have been so many that have affected me.
I get attached to my celebrities and heros. I too, cried for Mr. Rogers. I loved him, he was such a kind and gentle soul. I cried for Dimebag Darrell, because it was such a shocking tragedy. And recently I cried hard for Hunter S. Thomspon, he had such an influence over my life, but I didn’t cry for long, because I think that’s the last thing he’d want us to do.
The first one was River Phoenix… I was in 4th grade. I didn’t cry, as I wasn’t completely familiar with him, but I remember feeling really weird and sad.
I remember when Kurt Cobain died - 4th grade again. I was at my dads house in the living room, and it was on the news. I knew who he was, but didn’t listen to the music. I remember my brother falling apart, though. He was sitting on the couch and started crying, which was strange because he doesn’t cry much. He left quickly to his room and slammed the door. He didn’t leave for hours and he wouldn’t let me in. A rather vivid memory, actually.
When John Candy died, it was the first time I cried over a celebrity. I think my dad owns every movie he’s ever been in, and I grew up on those things.
I didn’t cry when Phil Hartman died, but I was incredibly shocked and sad.
I cried when Chris Farley died, and his death has been the only celebrity death I’ve ever been angry over. I loved Chris, still do.
John Ritter’s death really bothered me, it was depressing.
Johnny Carson is someone I feel like I should have cried over, but didn’t. I understand how important and influential he was, but I came along a little too late to remember when he was on the Tonight Show - I don’t remember him at all, to tell you the truth. I grew up on Leno.
I cried when Fred Rogers died, I still get choked up when I think about it long enough. There are just some people who should never leave.
I’m 21, by the way.
I don’t remember what the first one was for me. I remember being pretty aware of the assassination attempt on Reagan, so I probably heard about Lennon’s death. That was before I knew anything about the Beatles, though, so I probably forgot it pretty quickly.
The first one to really affect me was Jim Henson. Between Sesame Street and The Muppet Show, so many wonderful childhood memories were because of him, and he was suddenly gone.
First remembered? Elvis.
Hardest-hitting? Johnny Cash.
Both made an impact, as my parents were fans of both, so I heard a lot of them growing up (and became a fan in my own right). Elvis didn’t have the same impact on me, though; I guess it’s the cheesiness of his later years cited above. Johnny, though, as also cited above, just seemed to keep getting better and better with age. He didn’t turn into a caricature of himself, like Elvis did; he was still vital, still had something to say. That’s why his was the first celebrity death that I cried over.
Marilyn Monroe. I couldn’t believe someone that wonderful would actually die.
Couldn’t tell you, but I will tell you in my usual irrelevant fashion that my first memory of grasping the concept death came when I realized that, yes, even Wayne Gretzky will eventually die.
I believe I was five or so.
I think the first I remember really was Jim Henson. I was pretty oblivious when I was little, but I remember that. I was seven.
The one that’s hit me hardest was definately Mr. Rogers. I cried, and they kept playing clips and songs on the radio all day, and every time I heard one I started crying again. I was watching tv a few weeks ago, flipping through channels, and his show was on. I started watching it, he was at an aquarium, talking about all the fish and I started tearing up over it. 
actually, I’m about to cry thinking about it now
Christopher Wallace came as a shock because he got shot and I also remember someone telling me that Bill Clinton got shot and of course they were joking but that literally made my heart rate increase, I like Bill .
The first notable death I can remember is JFK’s. I was in third grade, and when the nuns conferred, went pale, and wheeled the televison in from the corridor, us kids knew something big had happened. I had been a big fan of JFK. During his campaign, I had scotch-taped every picture of him I could find in the newspaper to my bedroom door. His death really shook me. A few days later, as my mother and I were driving home from church, I turned on the radio and we heard the reports of Lee Harvey Oswald’s shooting. This deepened my confusion.
I was also affected by Janis Joplin’s death in 1970. As a young gay kid, I’d idolized her wild freedom, and her demise put the kibosh on my using her as a role model.
Two years later, as a *depressed[i/] young gay kid, I was really crushed by the suicide of Andrea Feldman, one of Andy Warhol’s “superstars”, whom I’d adopted, along with Joe Dallesandro, as my post-Joplin role model.
New year’s day, huh? … maybe that’s why mom & dad weren’t up yet. 
Yeah, I took that really hard, too.
The first one I can remember was RFK. I wasn’t even sure who he was but I understood that his brother had been killed a few years before (I was too young to remember that) and I thought it seemed very wrong that they were televising his funeral. It didn’t seem right to intrude on the family’s grief that way. I guess I was a rather deep thinking 8 year old.
As for deaths that it me the hardest;
-John Lennon for the shock factor. Why would someone want to kill him? That just didn’t make sense to me.
-John Ritter. I wasn’t even a huge fan but he was such a presence of the time for me growing up in the 70’s and 80’s that it was a shock when he died.
-Isaac Asimov. I just always hoped I’d meet him someday.
-Jacque Cousteau. I always wanted to be a zoologist and for a while I even persued Marine Biology because of Cousteau. As a kid I would be glued to the TV set watching his specials. I even cried when the Calypso sank.
-John Denver. Yep, I was a fan.
And possibly the most upsetting to me,
Douglas Adams. I have the book *Salmon of Doubt * which was published after his death and is basically a collection of articles, letters and short stories that he wrote. I haven’t been able to finish reading it because I know that it’s the last new thing of his I will ever be able to read, so I can’t finish it.
I have very vague memories of my parents talking about the death of Harold Holt (at the time the Prime Minister of Australia), who drowned in December 1967.