My first was KHII. I vaguely knew about Sora, so when the game booted up and I was playing as Roxas, I was like "WTF WHERE'S SORA??" xD So the Roxas part confused me, but once it got into it I was like "Ahhhh"
After that, I went and bought KH1, played that, then Days. Yes, I haven't played CoM yet. Stupid PAL region never getting Re:CoM. I did read the manga though(Not canon I know) just to get the gist of what happened.
I actually only got KHII first, because it was one of those reject games, because someone had stolen the case for it, got it for $10 brand new in the year it was released. And, it never actually specified it was KHII, it just said Kingdom Hearts on the little post it note thing on the front.