As the title says, what was your first GW game?
Space Hulk for me back in 1990. The game was awesome and still is to this day. We played a lot of it and the rulebooks mentioned additional scenarios, rules, and campaigns in White Dwarf magazine. So we picked up a couple of copies of this and that was all she wrote. Looking at all the great pictures, armies, scenarios, everything about GW games that those WDs used to contain, we were hooked.
Within months, we were also playing Adeptus Titanicus/Space Marine and Blood Bowl. Within the year, WFB and 40K. And I'm still going strong too!