Unlike Jason, I have a reason to be proud of my first album purchase. It was Nine Inch Nails' Pretty Hate Machine on cassette.
As I recall, I saw the Head Like a Hole video on MTV and liked the direction they were going in. At this point hair band music was wearing itself out and, for me, it was really time for a change. So, on a whim I picked up the album at a record store (possibly The Wall before it became fye) in the Danbury Fair Mall in Connecticut while on a day trip with my family. I remember playing the hell out of that thing on my Walkman. I liked it so much I even re-bought the album on CD later on.
For me, PHM really set the stage for all the music I loved in the 90's. I really got into it—even worked as one of those smug record store clerks that looked down at everyone's musical tastes. Unfortunately, I have very little to be excited about these days—except NIN iPhone apps and free albums I suppose.
For Gizmodo's week-long Listening Test (a tribute to all things audio), each writer will be sharing his/her first album. In other words, there will be many more to come.