My first coaster ever was the Runaway Mine Train at Chessington World of Adventures, back when it was Chessington Zoo (or if not then it had only just become WoA), when I was 2 years old. I was petrified, and couldn't even get on a train after that without being nervous. There was a little train I used to love at Sandbanks, Dorset that ran along the promenade (you know the ones that aren't actually trains but are made to look like them) and I wouldn't even go on that again for ages after, out of fear it would do what the Runaway Mine Train did. Needless to say it was not this experience that turned me into an enthusiast.
My next coaster experience after that, and my first 'voluntary' one, was the Achterbahn at a rather obscure German park in Lower Saxony known as Rasti-Land. I was about 7 then I think. You might even say this was my first true coaster experience, as this was the first non-powered coaster I ever rode (as far as I can remember). Looking at RCDB, the coaster still exists, and is still the only one in the park!
http://www.rcdb.com/1023.htm?p=0