The very first time, wasn't my choice.  My mother used to dress me up in them from infancy until around 2.  Apparently some mothers do this, as tights are cheap and expand with growth, so you save $$.  Little did my mom know she was laying the foundation for her son's "deviant" sexuality.  ;-)

My first time wearing them by choice was when I was around 4.  Me and a girl playmate of mine stumbled upon a navy pair in an old box of baby clothes.  She already had a pair on, so I put on the navy tights along with other things.  Didn't think much of it at the time, until I recognized I had a fascination with watching girls in tights at my kindegarten school.  I would then stretch into a pair of my younger sister's tights that I snagged.  I really liked how they felt and of course would get an erection.  Eventually, I figured out they felt even better without the underwear... which ultimately led to dry orgasms.  And that clinched it; I was hooked on 'em.  Unfortunately, I got caught a few times and had to work really hard at being stealthy (mom did NOT want me wearing them, that's for sure).