First gun, Marlin Model 60 which I still have (bought it about 7 years ago). I only still have it because it never would have brought much money. When I first started, I didn't have very many guns and I was inpatient. Now, I can be a little more patient since I have a few. I'm glad that Model 60 wasn't worth enough to justify selling because now I would never let it go- it is accurate, reliable (with CCI) and fun, and yes it is my first (though no sentimental "my grandfather taught me on it" or any such story).
First handgun, a Taurus 82. I really wanted a .357mag, but it was my first handgun so sticker shock got me. I found a decent used Taurus 82 (a .38spl) and decided to go with that. It was a good, if basic, gun (newer 82s are better made, this was really a solid, but very basic gun with a so-so trigger at best). I wish I still had it*
First auto pistol, a Ruger KP89. I missed it for a little while (mostly because it was my first of a type) but I really don't miss having it. I sold it to help me buy something else. I was in the market for a CZ, Kahr or Glock, but got bit by the 1911 bug and bought a Charles Daly.
*Back when I first started I didn't think I'd have many guns. 2-4 handguns was about it (and no more than 5 or 6 counting long-guns). Possibly just one auto and one revolver, maybe one service pistol, one service pistol, and one or two smaller guns in different catagories. So, I had already bought my S&W 65LS and had a mid-size/service revolver in .357mag (which can also shoot .38spl) and didn't see the need for the mid-sized/service revolver in .38spl (the Taurus 82), so I sold it (helped pay for the Charles Daly). It makes be feel especially bad to be without my first handgun when I consider the stupid reason I sold it (especially since I have more than 2-4 guns today).