We bought our first toy at a sex shop on a really sketchy road in Atlanta. We were playing, and had been discussing toys, and it was almost 11:00 and the wife said she'd like one, so I went and got dressed and bought her her first rabbit, which we used until about 3:00 in the morning.
From an adult novelty store. I got a plastic pocket rocket. Then I heard some things about adamandeve.com and made an order with them. Meh. Then I discovered Eden Fantasy's and have gotten many,many things through eden and do not wish to go anywhere else. Love it here.
The first toy I ever used I bought in a sex shop before I knew anything about toys (it was a piece of shit). My first QUALITY toy I bought online and that is usually where I do most of my shopping since its significantly cheaper.