There is a thread going right now for the first thing you tried on... but that was too easy. I think the real hurdle for me was the first time I actually BOUGHT something. For myself. In person.
After a while, making do with things found in the attic or my sisters' rooms just wasn't good enough. There were certain items of clothing that I just HAD to have that were mine and only mine.
I don't know how long it took me to screw up my nerves, but I have very vivid memories of the day when I was about 14 that I finally got the nerve to enter a store WALK INTO THE WOMAN'S SECTION (something that took every ounce of resolve I had) and look for what I wanted.
A few minutes after I started browsing, a young associate (probably no older than 18 herself) approached me and asked if she could help. I made up some lame story on the spot about a girlfriend who was sick in bed (I think I actually said 'in the hospital') who needed a few things. I was probably sweating and pale as a ghost at this point from being so nervous, but she played along. Of course, this girl I was buying for was 'about my height' and 'about my build' but had failed to tell me any sizes when sending me on this shopping errand.
About 1,000 years later, by my estimation, I left the store with a pair of panties and a pink cotton nightgown. My first woman's clothes that I had bought myself, with my own money. I don't think it got much easier for several years after that, but finally the cold chills and shaking went away.
Now I can buy things pretty calmly while in 'drab' and there are some things I only let myself purchase if I shop for them enfemme. The only heart-stopping moment I've had for quite a while was when I was stocking up on pantyhose at a sale and, after I put the 8 pair or so on the cashier's counter, realized that she was somebody I knew (an old schoolmate).
So how nerve-wracking was your first shopping experience?