The Departed Steelbook from Best Buy. If it wasn't for that purchase I probably wouldn't have been hooked. 1st Video Game steel was Assassin's Creed 3, I love it even though it vastly mass produced.
I think my first steel was 'The Day the Earth Stood Still' (the original not the Keanu Reeves abomination)... but this was on DVD. I traded it a while back. The first BR steel I ever bought was probably the best buy '300'. To be honest I'm getting more into digibooks these days...
I started collecting when Future Shop came out with their 12 weeks of Disney campaign. This was the first advertisement I saw for steelbooks. I wished I had gone to Future Shop to get Iron Man and Indiana Jones on blu-ray. Then those could have been my first.