I can't remember my first, but the most vivid were TFF, especially the multiple coloured vinyls of Pale Shelter, and Prince's 1999 as it was a US import & twice the weight of any that I'd owned before.
I also have memories of a 12" that had loads of samples, cuts & beats on the B side so that you could make your own mix of the A side.
Lastly, on a totally separate subject, I remember buying a Level 42 CD single that was (IIRC) the first to be released as a combined audio CD & video single.