First, Thanks for your question verdande_mi :)
This question it's somehow tricky. I can give you 2 answers, one more focused on the word "fandom" and the other on the word "first":
Acording to google:
My first fandom - as in "for this series I started surfing the internet looking for spoilers, discovered fan fictions, joined forums, start making music videos,..." would be House.
I remember when it started. It was the day before the fourth day of my High School Final Exam (in Italy your finals last 4 days: 3 days of written tests and one day with the oral test). I was very nervous because my professors were very difficult: they wanted us to talk about our thesis (as the only girl in the class, mine was about the role of the woman in the evolution of the human kind from the 18th century until today) and also be able to answer questions about things that we learnt during the past 5 years... They were allowed to ask us about an author we've read on your first year, or a way of coding we've learn on the their year, or a chemical experiment we've done on your 4th year. Basically nerve wreaking.
So, the night before the exam I was going through all my notebooks, overloading my graphic memory and doing more damage than anything else. A friend of mine called me and begged me to please stop. "Turn on the TV and let your brain relax, you're going to be fine. Anyway you know what you know now... you can't learn anything else" so - for once, I listened to my friend and I turned on the TV and there was House. I crashed as hard as I could on Hugh Laurie and the morning after I felt relaxed and I passed my exam (the 4 other guys that were schedule on my same day didn't pass and they had to repeat the whole year... so yes... my professors were though and evil).
So House was now surrounded by a aura of luck and possibilities and marked the end of an era and a new beginning so it called to me. I loved the first 2/3 seasons, I was an hard core House/Cameron (Hameron, Cotton Candy) so I joined a forum where I met people that 11 years after that day are still in my life, and some are very close to me (we talk everyday about non-fandom stuff, we go on holiday together,...). That summer I started other shows as well. My english was awful in High School but I wanted to watch House so I started watching in in english and now I can speak the language. I owe House so much somehow. So I can't be mad at David Shore for fucking it up. Thanks to the show I met amazing people, I've learnt a language that led me to get an awesome job and marry an american... I won't be who I am today if I didn't listen to that phone call that day!
But the first show I started following and be interested in (without the internet part, that came later for that show too) was The Nanny I watched it every evening during dinner with my parents, and it was the first show I was actually interested in, as in: I was shipping and be careful not to miss the beginning of the show. Again, The Nanny was important to me also because we were watching it as a family, so it has a special place in my heart.
July has just began so feel free to ask me more questions :) HERE