Hmm, well, I don't know exactly what my first dvd was but I suspect it was the first season of Buffy.  If it wasn't the first, it was one of the first.

Haven't gone Blu yet.

First DVD, "Terminator 2"
First Blu-ray, "A la croisée des Mondes, la boussole d'or"

DVD = The Matrix
BD = Pinocchio

I really cannot remember which was my first DVD. I didn't get Profiler until just recently, so I wasn't tracking the data back then.

I know my first Blu was "The Bank Job," as it was part of a double pack with the standard DVD at Sam's Club for about $20.  I figured I may as well pick it up at that price, as I'll likely have a BR collection eventually.

I still don't own a BR player, but I've accumulated three discs already (TBJ and two Disney double packs...Pinocchio and Sleeping Beauty).

First DVD - The Saint: Widescreen Collection
First Blu-ray - Stargate: Extended Edition

First DVD: Björk: Greatest Hits (Volumen 1993-2003)
First Blu-Ray: Earth (BBC) - the first one I actually bought, that is. When I bought my first BR player, I got four for free from the shop where I bought it and another six from Sony. 

My first DVD was Dark City
My first Bluray was How the West Was Won

First DVD was First Knight (could only play it in a PC at the time...), some date in 1998.

First BluRay's were Wild Things and Hellboy (purchased together with the PS3) on August 17th, 2007.

For completeness sake first HD DVD's were Ran, Swordfish and Full Metal Jacket on August 8th, 2007.

Don't really remember what the first VHS tape was, but these tapes are all gone now.