For me its probably Digimon. 1st and 2nd Season. Thats the first one I ever watched as a whole. I do not really count Dragonball and Pokemon since I watched them only "on flyby" when i saw them on TV, but never really intentional.
Dragon Ball GT when I was 6. All I remember from then was a Golden Ape screaming at the top of his lungs.(and me obviously entranced by it (IMG:[invalid] style_emoticons/default/smile.gif) )
My very first anime I watched was Sailor Moon ( I think I was around five years old) but I don't remember a lot about it. The first ones I really got into were probably Dragonball, Ganbare Kickers, Pokémon, Digimon and Hamtaro.