This has the makings of a good Meme... I propose:

First Record Album: Country Bear Jamboree, Disney!!!

First 8 Track Tape: Aqualung, Jethro Tull.

First cassette Tape: Chicago 16, Chicago Transit Authority.

First CD: Vivaldi's 4 Seasons, Boston Symphony Orchestra.

First MP3 (or other computer based format): This one is tough... I know I was trading and downloading Mod files for my Amiga circa 1988.. but even memory of those is now lost to me. First PC based audio use might have been Garbage's "Stupid Girl" in like 1997.