I could have a couple of answers. So I'll give them to you!
1. My first modern rock CD was probably Sugar Ray's 14:59. Though I think I had some Elvis live CDs too.
2. What first got me actively listening, and really into music, was the Hurley999.com website in 1999 where I heard Goldfinger's "You Say You Don't Love Me", Blink 182's "Dammit", and Crumb's "Tonight". I loved all 3. Crumb's album is still one of my top 3.
3. What got me into metal was randomly deciding to buy Halford's "Live Insurrection" at the CD shop in 2001 just because it looked cool. Still my favorite live album! This segued into 80s music like Motley Crue.