My first CD ever was Metallica - The Black Album.
I bought the CD when I heard the album on cassette, back in India, and decided that Metallica was the best band ever. It caused my change in music taste from Pop to Rock and Metal. I started listening to Iron Maiden, GnR, Pink Floyd, Led Zep, Slayer, Megadeth, etc. much to the chagrin of my parents...
The story behind the CD is that I had it for a year and a half before I got a player for it
and played it for the first time. I bought the CD at a small music shop in a upscale/ posh neighbourhood and had to save six months of pocket money to buy it.
The player was a Sony Discman and I had that for about a year before anyone else in my friend circle got a CD player. Thanks to my Dad's job, which involved a lot of foreign travel, I had access to technology way ahead of the standard in India.