Great thread!
The first film that was ever mine was a VHS copy of Predator that my dad bought me. It was the CBS/Fox All Time Greats release. I must've watched it at least once a week for a year, and still have it in my collection.
The first piece of merchandise was the Hicks Kenner figure. Again thanks to my dad. He took me to a local toy store and they had the whole line available, but Hicks looked the coolest.
That same day we then went to my Grandmother's house and she had recorded Aliens off like channel 5 or something. That also got into the weekly rotation too.
I've never read any of the EU or novelisations of the films but I did find Aliens Vs Predator War, and that was the first graphic novel I picked up of either franchise. Over the years I've added a bunch of the individual issues to my collection.
Gotta give my Dad huge props for introducing me to some great stuff at a young age, maybe a little too young.
Same to my Grandmother too because she recorded so many films, and it was at her house that I first saw stuff like Total Recall, Robocop and all that 80s/90s goodness.