The first one I am sure of was seeing "Blade Runner" in the theater in 1982 when I was 12. My parents figured that even with the R rating, a movie with the guy that played Han Solo and Indiana Jones wouldn't be that rough. Kind of figured they probably regretted it, but they never really said.
Do you remember what *your* first R-rated movie was? I finally asked my mom (I couldn't remember), and she told me it was The Lost Boys when I was roughly the same age as my daughter (about 9). The movie traumatized her more than it did me, apparently