I can't really remember my first comic. My parents used to read to me before bed when I was little (this included everything, even comics!)
One of the first comics that really stuck in my memory though (and was probably one of the firsts) was DC Comics Presents #25. It was such a weird story with Phantom Stranger, Superman, and hell. I also really liked the Hourman back-up. I had the coverless copy for the longest time.

Alpha Flight was just a random purchase at 7-11 (in hindsight it was definitely because of John Byrne. I LOVED his FF, and was probably subconsciously drawn to the artwork). I think my first issue was #27. I was instantly hooked. I think I had most of the back issues before #28 was released.