The first was, ironically enough, when I was about 8 years old (1966) in Tennessee where I grew up. Nothing big - felt a shake, saw lampshade move. Some of the department stores downtown (yes, it was a long time ago) had their plate glass windows shatter. Still, not big deal.
Fast forward to 1994, January 16th, 4:31 am. I'd moved to Los Angeles the previous September and was looking forward to having a paid holiday for Martin Luther King, Jr. day for the first time. I had the day off, all right, but it wasn't as planned due to the 6.7 Northridge earthquake. Scared the **** out of me, I don't mind telling you. The building wasn't just shaking, it was jumping. I have since read a great deal on earthquakes and know the difference between a strike-slip fault and a thrust. Northridge was the latter (google it, if interested - there are some neat graphics showing types of movement on different fault types). For weeks I was terrified everytime I got into an elevator, went under and overpass, or parked in a parking structure (esp. one underground). Since then we've had several that I've felt - I quit counting. We had a 4.4 that woke me up a few weeks ago and we felt the 7.1 in Baja on Easter Sunday. Weird to say, but you get used to it.