My first J-Drama (Also my very first asian drama): 1 Litre of Tears. ^-^ Yes, one of the saddest dramas, and it was my first.
First K-Drama: Wonderful Life. At first it was all peppy, but it had a lot of drama and it was sad at the end. ;(
First T-Drama: Smiling Pasta. How I love the cheerfulness of this movie. =D
First Mainland Drama: He Was Cool. I actually haven't watched any other mainland dramas.
Mind you, all of these firsts, except for He Was Cool, were watched when I was a bit younger...10 or 11, I think.