Three very different answers for me !
Pokemon was the "first", as thousands of other kids. It was dubbed in French of course, it sounded like every other cartoon even if it was Japanese.
The first subbed anime I watched was Popotan, a 12-episode tale (I loved the soundtrack). I've been told years after that this anime was adapted from an adult game (which explained the mild-nude scenes in the episodes).
I really jumped into the world of anime with Death Note (without having read the manga). So interesting I was spending hours of continuously viewing ^^