Having learned how to read from comics, it's difficult to remember any "firsts". That said, the first comic I can remember being awestruck by was Uncanny X-men #251.
People say you can't judge a book by it's cover, well with this issue that saying is completely off. The cover by Marc Silvestri with the "crucified" Wolverine was captivating the moment I first saw it back when it came out in 1989 (wow...21 years ago...now that I've made everyone feel old...). The interior art is just as excellent, and even to this day Silvestri is still an amazing artist, despite how different his styles and technique have become. Also, it has early appearances of Jubilee, and a delirious Wolverine having hallucinations and I always used to (and still do) enjoy when he can't rely on his quick healing powers. Plus, this is where we first get the two characters together leading into where Jubilee helps Wolverine escape, solidifying her as Logan's sidekick for the new (then) era of the 1990's. Great comic, Great art, Great writing , and all around just a good example of what a comic should be...fun entertainment with great depth in characters.