The first time I heard Sonic Youth, it was live (
http://www.sonicyouth.com/mustang/cc/090191.html ) and I ran away with a screaming headache after ten minutes. So first song has to be Schizophrenia. They were the closing act of a festival, we didn't mind leaving early.
A couple of months later I did get into them, probably via one of my housemates at the time. Or perhaps it was a year later when Dirty was released.