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It's actually hard to say. Aside from maybe a little bot of pokemon when I was a kid, I'd say Lucky Star was my first, but I didn't really like it all that much at the time, only watched a couple of episodes. The one after that, that got me hooked, was Panty & Stocking with Garterbelt. Cowboy Bebop sealed it. Rozen Maiden freakin welded it.
TL:DR probably Lucky Star.
