~ Watched?
Not really sure on a "first". It was likely Dragonball Z, but then again it could have been Gundam Wing, Sailor Moon, Tenchi Muyo, Outlaw Star, Ronin Warriors, or Samurai Pizza Cats... or maybe something else that I can't think of right now. I remember watching all of them, but to be sure on which one came first... not a clue.
~ Watched knowing it was "anime"?
Fullmetal Alchemist
~ Watched subbed?
Kiba is the "first" anime I watched subbed. But I only watched maybe 2 episodes. Now first series would be Otome wa Boku ni Koishiteru. I didn't watch too many series dubbed before starting on subs... maybe 5 (not counting stuff I watched back long ago... like what I listed in the first question).