My first DVD purchase was made on a Wednesday afternoon and it was Transformers The Movie from Rhino Home Video. I bought the DVD player at Best Buy right after buying the DVD so that I could see it.
I actually had to think about this for a bit (I can remember my first CD easily... but DVD was tougher for some reason). It was X-men and Mission Impossible 2. I got them both at the same time with my DVD player.
First DVD player was my PS2, lol. First movie was Cast Away. My first standalone DVD-player was a Samsung, and the first movie I got for that was Hollowman. It held for a good four years. After that I bought an awesome Pioneer that still works. Gave it to my sister a while back when I bought my Blu-Ray player.
American Beauty, January 2001 with my first DVD player. I'm on my 3rd now, and I only moved onto #3 out of convenience when I got a PS3 (which became the de facto DVD player in the living room).
The 1997 Bubblegum Crisis (OVA) Boxset. I actually rented a DVD player to watch it. Guess I looked at the whole thing as testing the waters of DVD. It was amazing, but I didn't jump right in. I didn't buy DVD again until 2002 with Rhino's Transformers. And, my first player was a PS2. My first Blu Ray was Wings of Honneamise in late 2007.
Probably Star Wars Episode II: Attack of the Clones. Fullscreen, Two Disc edition. Wish I had Widescreen, now. Made the same mistake with Episode III.
I'd buy that, Jin-Roh and the Patlabor movies tommorow if Bandai got off thier arse and put them back into print. On what planet is selling discs in ludicrously expensive collectors editions for 6-12 months before pulling them entirely a sensible business strategy?
As embarrassing as it to say this, but Josie and Pussycats was my first DVD. My second was Snatch though.