This is a good question. I really don't remember the first album I ever bought.
I think the first album I ever wanted was either Michael Jackson's "Thriller" or the "Ghostbusters" soundtrack. If I remember correctly, i got Thriller for Christmas one year, and a friend gave me the Ghostbusters soundtrack.
As far as the first album I actually went out and purchased with my own money....
I would like to think it was Bauhaus or Siouxsie and the Banshees or something, but more than likely it was some crappy hair-metal or maybe even Vanilla Ice!--lol.