My very first official SteelBook was Killzone for the PS2.
I honestly can't remember what my first Dvd SteelBook was, as it was a long time ago, but it wasn't long after they came out. I remember seeing Steven Spielberg's Duel in HMV at the time, but for some reason never picked it up. Shortly after that, I used to go to HMV and pick up 5-10 SteelBooks at a time each week just to catch up - This was just after the FOX / MGM Definitve Editions were released. I missed several PLAY.com exclusives (notably Iron Man and Transformers), and from that moment on I vowed to pre-order every new release!
My first Blu-Ray SteelBook was Sweeney Todd, followed by Wanted and 10,000 BC. That much I remember. I've had much better luck collecting Blu-Ray SteelBooks, having only missed several releases to date - Mostly due to having to send back damaged items to find there are no replacements to be had