I seem to recall a topic about the first album you bought, so I thought a similar but broadened topic for all entertainment related firsts would be cool.
The first film I can really recall seeing at the cinema is either Peter Pan or Home Alone, both at Butlins the same week.
The first horror I ever saw was an episode of 'Freddy's Nightmares' when I was 5 years old - cheers, bruv!
The first movie to cause me to have a nightmare was Beetlejuice.
And the first time I ever swore was thanks to an Amiga game on which you typed in words and they said them back to you - aw, back when games were innocent