I think it must have been Thriller by Michael Jackson, at around seven or eight. On cassette, of course. How much it was, I no longer recall, but I had to buy it twice, because my brothers decided they hated Michael Jackson, and destroyed the tape to save me from my own bad taste.
It was either the Grease Soundtrack, or Elvis Presley’s “I Got Lucky”
Both vinyl, when I was 8-ish. Not sure which I bought first, but both were bought at the supermarket, of all places.
One of “Weird Al” Yankovic’s albums. Don’t remember which one, but it was on CD. I’d guess I was about 13.
In terms of the first that I’m sure of, I asked for (and got) Metallica’s S&M for Christmas when I was 16. A month or so later I went out and bought …And Justice for All. So the first “serious” album I got along with the first album I remember buying and the first concert I bought tickets to are all Metallica.
The Edgar Winter Group’s “They Only Come Out at Night” was my first album. Considering the Francesco Scavullo photos with their over-the-top glitter/glam vibe, I’m wondering if the phrase “come out” in the title wasn’t a Freudian slip.
1978 (I think) which means I was 9. War of the Worlds by Jeff Wayne. LP. I still have it in my attic. I used to listen to it on a massive '60s radiogram that my dad gave me. It would take about 5 minutes for the valves to warm up before I could use it. I also used the turntable to spin my skateboarding Snoopy figures on.
My first ever record was the single of Space Oddity by David Bowie, but that was a gift.
Kiss - Rock and Roll Over. Stop laughing!
I was 12 at the time, and it was an “album”, I finally threw it out due to fatal scratches. You youngsters don’t know how lucky you are to have CD’s!! 
My best guess is that it was Paula Abdul’s Shut Up and Dance, on a cassette tape.
I’m sruprised to hear Queen was out on 45’s. For some reason, I think they’re more “modern” than that, but I guess not. Then again, I’m old and what the heck do I remember anyway?
Ack, Zeldar! I’d forgotten all about those things you put in the middle of the 45’s so you could play them on the 33RPM record player!
I know that one of the record players we had, had one that came with it and was as long as the regular pole so you could put a bunch of 45’s on it and they would drop down one at a time after playing. But I also remember having a bunch of the yellow plastic ones that you put into the 45 individually.
And I think **TeaRoses[/] and maleinblack are currently tied for most pathetic! 
Just kidding, Lord knows I don’t want to be remembered for my first pair of bellbottoms!
And why don’t I think I need to preview???
The Police, “Synchronicity” on wondeful,wonderful vinyl.
My first musical purchase was Planet Telex and High and Dry by Radiohead on cassete in 1995 when I was 14/15.
First album - Abbey Road - Beatles - 1969 and I still think it is pretty awesome!
First CD - Wagner’s Greatest Hits - Various - 1983 or 4
(It would have been Mozart’s 40th and 41st by St. Martin’s in the Field, but at the time very little music was available in that format).
Pre-1969 I had lots of 45’s and some “classical” 78’s but AR was the first purchase made conciously (yes, I spent a lot of time unconcious, but let’s not go into that now) by me for me in the world of music.
The first one that counted was “Meet the Beatles” in 1964.
Before that I had a Gene Autry album of cowboy songs that I played over and over and over on a red and white portable record player.
Blue Suede Shoes - never heard it, but I was in love with my new blue suede shoes that were hot that summer.
I didn’t even have a 45 machine, but would have to play it at a neighbor kid’s house.
First single - “Heart of Glass” by Blondie
First album - “The Magic of Abba”
I still have both …
Technically my parents bought it for me but it’s such a vivid memory…
Creedence Gold, a CCR greatest hits album (vinyl.) I was maybe ten at the time. It cost $3.99. It had this cool cover with silhouettes of the four band members that folded out. Born On The Bayou is still one of my favorite jams!
The first piece of music I bought for myself with my own money was Metallica’s aptly named $5.98 Garage Days Re-Revisited (that was the exact price the guy charged me) on cassette in a flea market (do they even still have those anywhere?) when I was 13 or so.
Still one of my favorite Metallica albums.
I would never laugh.
Dressed to kill-1975. I was 8.
“Seven and the Ragged Tiger” by Duran Duran on vinyl when I was probably 8 or 9 (?)
I remember a friend asking me if I could record it for her, and I said, “sure”. I spent the rest of that school year trying to think of exactly how I was going to accomplish that. Luckily, she never brought it up again…
I feel so young right now
My first cd was No Doubts Tragic Kingdom
I was like 13 or so