First ever anything: Dire Straits’ Brothers in Arms cassette – got it for Christmas in '85.
First CD: Led Zeppelin I – got i at my local independent Books & Record joint in high school ('93?)
First LP: Dire Straits eponymous album – bought it at this cool, hip coffee shop-bar-record store in Pueblo, CO last year!
Tripler
I built a huge CD collection through that Columbia House gig back in the day.
This is too vague for me to have an answer to. I had records of various sorts, bought for me by my parents (and maybe other relatives?) since early childhod. But the first “proper” album I bought for myself (on cassette) was Synchronicity (by The Police).
Hehehe, my sister scammed them so many times. Before she was 18, she’d fill out the form, make her picks and send them their penny. When they asked for payment for the other monthly stuff they’d send afterward, she’d basically tell them they’d entered into a contract with a minor, and they’d go away. She had quite a tape and LP collection.
I only did the Columbia House thing once and I didn’t even scam them. I got 10 CDs for $10 plus a tiny amount of shipping, then bought 1 CD for $10 plus minimal shipping, then just stopped. So I got 11 CD for half or less of what they’d normally cost. Then, I never did it again because they didn’t have anything else I wanted.
My first album was an 8 track of Pink Floyd-The Wall. It was an Xmas present from Santa (my mom). Now at that time, I don’t think I had ever heard of them. I and my friends were still listening to our parents music which was soft/pop rock. I was also in the band so some of us were inclined to listen to classical music.
I assume my mother went to the record store and asked what was popular for kids around whatever age I was then, and they recommended it. I’m glad they did because it became my favorite album and I’ve had it in each format which was cassette then CD and now digital. This reminds me, I need to give it another listen.
First LP - “The Partridge Family Album”
First 45 - “2001” Deodato
First 8-track - “Jaws” soundtrack (went straight to the beach with my new tape player)
First CD - “Night at the Opera” and “Day at the Races” Queen
LP: Grieg Piano Concerto, Arthur Rubinstein (early 1960s)
Reel-to-reel tape: Switched-On Bach
Cassette: The Best of the Stan Freberg Shows (bought around 1987)
CD: Amahl and the Night Visitors (original cast)
VHS: A Man For All Seasons (Scofield) (before that I got “A Charlie Brown Christmas” free with x gallons of gas)
Laserdisc: Fantasia (I never bought a player. I only bought the disc as insurance against Disney never releasing it again.)
DVD: Beany and Cecil: The Special Edition
Blu-Ray: Becket and Fantasia (tie. I bought Fantasia just before it went back into the vault and included Becket on the same order)
paid d/l mp3 track/album: March Past of the Kitchen Utensils, from "Incidental music for ‘The Wasps’ by Aristophanes", by Vaughan Williams, from Amazon.
First cassette, The Beatles “Let it Be”.
First 45 (single), Steely Dan “Haiitian Divorce”
First 33 (LP), probably a Beatles.
First CD, Ultravox “Greatest Hits”
Vinyl/cassettes - mid 1970s and CDs - 1985
Yes, the song is officially called “The William Tell Overture” since that is the tune that is playing at same time as the narration by Doodle Weaver. I and other people in my family certainly never called it that at the time. I always referred to it as “Beetlebaum”. That is the song that was released in 1948. The album my family owned was probably Spike Jones Murders Carmen and Kids the Classics which seems to have been released in 1953. I’m just not sure though. Incidentally, “The William Tell Overture” was most often thought of back then as the theme song of The Lone Ranger.
Owned and bought are kind of different, since there’s stuff my folks got for me at various points.
So I’ll stick with bought.
First Cassette
Born in the USA, Springsteen 1984, bought with saved money for my very first Walkman (that though was a Hanukah gift).
First CD
Soundtrack to Last Action Hero, Various, 1993, for my first CD player, both bought with part-time job money.
The first single that was mine was a gift from my parents, I Want to Hold Your Hand.
Once I had a record player in my room the first album that I bought was The Best of The Easybeats + Pretty Girl by the seminal Aussie band.
First 45 - We Will Rock You and We are the Champions by Queen. My sisters and I walked to the Ben Franklin in town and we all bought 45s.
First record - I never bought records really, but I did get a Doctor Who album when my mom donated to Channel 11, the Chicago PBS station.
First cassette - I honestly can’t remember. I bought so many when I was in high school and I couldn’t tell you what the first one was.
First CD - Pump Up the Volume soundtrack. I was stationed overseas and this was in the PX. I was mostly listening to cassettes then and this felt like a bit of a splurge. It’s a great album with outstanding songs from alternative rock musicians. Someone borrowed it from me in college and I never got it back.
There’s nothing quite like the feeling you get when you’ve bought your first music with money you earned in your own job, and you’re playing it for the first time. It’s the same feeling that I got a little earlier when I bought my first transistor radio, an old Ross radio like this one on eBay ➜ Vintage ROSS TRANSISTOR RADIO - Model RE-1200 N - RARE - For Parts - Untested | eBay ■ . Going up to my bedroom and playing my own radio and choosing my own stations, what a feeling!
The first music I ever bought were two 45s:
December 1963, by Frankie Valli and the Four Seasons
Dream Weaver, by Gary Wright
This must’ve been around 1975 and I was 13 going on 14. I’m the oldest sibling in my family so that probably explains why it was so late for me.
Playing my own 45s — what a feeling!
Another early 45 that I remember buying was Smoke from a Distant Fire, a one hit wonder by the Sanford-Townsend Band.
I don’t remember my first LP but among them was Boston’s first album in 1976. A classic.
Yeah, I’m a child of the 1970s.
First cassette: En Vogue, Funky Divas (purchased 1993 so that I could listen to it on my Walkman during a 20-minute run in gym class)
First CD: Tom Petty & the Heartbreakers’ Greatest Hits (purchased 1995)
First digital download: Kesha, Animal (purchased 2011)
In 71 or so, my parents bought me and my 3 sisters a folding record player with speakers, which played LPs and 45s.. They also took us up to Goldblatt’s department store, where we could each buy one album. Mine was Johnny Cash, I Walk the Line.
Still kinda proud that I had such good taste with my 1st music purchase as a pre-teen! 
I’m not surprised that was what you called it considering it was the punch line of the sequel. I have a lot of Spike on CD reissues, including the not very good Carmen. My mother had the 78 version of “Laura.” I even have a CD of their radio show, one show guest starred Peter Lorre, who practiced his accent so he’d sound as much like himself as the singer of “My Old Flame.”
The Lone Ranger reminds me of a bit in Mad Magazine once. Two kids are watching Leornard Bernstein do his classics for kids show. He is about to lead the orchestra in “The Willam Tell Overture” and says mature people don’t think of it as a TV theme. The kids’ loutish father comes in and shouts “Heigh-ho, Silver!”
My first CDs were the 11 for a penny you got when you joined Columbia House. I didn’t even have a CD player yet (was saving for one from my summer job).
I went over to my friend’s house who already had one and together we opened each one and I made him play a song on each “to make sure they worked” because I was a dumb teenager.
IIRC the first 45’s I bought were a Paul McCartney&Wings - Band on the Run and Sweet’s - Little Willy.
There were a number of things using “The William Tell Overture” back in those days. It was long out of copyright by that point, of course. The song came from an opera about a famous crossbow marksman of the Middle Ages (although he was apparently just a legend). A couple of television commercials in the 1960s used that song as the background. One was a commercial for Lark cigarettes. A second was a commercial for Jeno’s Pizza Rolls, which was made not long afterwards. In the commercial for Lark, people were asked to show their cigarettes while the song was played in the background. In the commercial for Jeno’s, people were asked to show their pizza rolls while the song was played in the background. In it, one man is holding up his pizza roll when suddenly another man smoking a cigarette and holding a cigarette packet comes up to him and says that he would like to speak to him about his music. Then two other men come up behind the man with the cigarette. They say that they would like to speak to him about his music. Those two men are obviously the Lone Ranger and Tonto. I remember thinking at the time it would have been even funnier if suddenly an arrow comes flying from just outside the screen, sticking into the wall behind the Lone Ranger. Then a man would step forward who was obviously supposed to be William Tell from what you could see of his clothes and crossbow. He would say to the Lone Ranger that he would like to speak to him about his music.
The Jeno’s commercal was written by the comedian Stan Freberg.
I hadn’t so much as touched a cd when I decided to buy a changer for my car. My first cd was Thelonius Monk, and I remember sitting in the parking lot puzzling over the case.