Record - my mom got me a Paul Anka 45 for my little portable record player, and an LP with Kermit singing It’s Not Easy Being Green and Rubber Ducky and the like. And the S.W.A.T. theme song.
First album I bought was Quiet Riot - Metal Health. It sucked when my big brother moved because he had always bought the music.
First cassette? No idea. My brother made a bunch of copies of albums on Maxell cassettes (the gold label ones) and gave me probably 7 full albums and one complication/mix tape all in a cassette case that probably held 24 cassettes.
One of the cassettes might have been just instrumentals - Rush, some Pink Floyd, Iron Maiden, all of the EVH instrumentals/solos, and even the little acoustic guitar solo by George or John on The White Album before The Continuing Adventures of Bungalow Bill
Also, a cassette titled Meaty Metal Metal Metal that had a mix of excellent Metal, including a live version of The Green Manalishi (with the two-pronged crown) by Judas Priest, which is the greatest cover version of any song ever when you consider the original.
CD - first CD i got was a birthday present from a friend. Phil Collins, No Jacket Required. First one I bought was probably Powerslave
I don’t know that I’ve ever downloaded a song.