The first pet my family had was a Shetland Sheepdog puppy named Missy. She was pretty sickly and didn't live long, and our second Sheltie, Lady (registered name Shady Blue Lady), is the first pet I have any real memory of. I grew up with her.
The first pet that was mine and mine alone was a budgie named Rickey. He was awesome.
Our time together was pretty short, though, as he got out and flew away after about eight or nine months. He was friendly to people, so I hope someone found him and gave him a good home.