first cassette - FOR YOUR EYES ONLY soundtrack / STAND AND DELIVER adam and the ants
first vinyl - THE FINAL COUNTDOWN europe / LAND OF CONFUSION genesis
first cd - SOFT METAL compilation

Same here, I got this free when I was 12 for opening an account with HSBC. So wasn't bought technically but it was my first ever single.

Edit: Just remembered the 1st CD bought FOR me was the Dirty Dancing soundtrack when I was about 7, don't know if that counts?

I bought my first two CDs at the same time, when I was 8. They were 3T - Brotherhood and The Smurfs Go Pop.

3T were alright (though looking back the lyrics were pretty sexy ) but the Smurfs is just shameful really.

The first CD i owed was '... Baby One More Time'

However, the first CD i bought with my very own pennies was Madonnas American Life album. It's still a favourite of mine

Paul Simon - Graceland

Bought it along with my first CD player, a top-loading Toshiba that my dad still has, back in the late 1980's.

The CD, however, has disappeared in the mists of time (and a divorce).

Radiohead - The Bends