I don't know what my first lucid dream was, that was long ago. But, I remember the first lucid dream that I had when I was trying to dream lucidly.
I had just walked into the lobby of a large, magnificent office building. It had a shaft that led right up to the top of the building and a long window along one side, letting the sun in. The floors of the building had balconies on the inside of this shaft. Something went flying by (I never knew what it was). Suddenly I realized I was dreaming.
As was my practice at the time, I looked at my hands (after Casteneda). Then I started looking around a lot. Everything was amazingly VIVID. I just started floating and bouncing off the balconies on my way up the shaft. It was exhilarating. I wondered what was on the different floors, made my way over to a balcony. Then I woke up.