empeg MK 1 here in 1999 was my first dedicated MP3 unit. I had a roomate at the time who owned the Rio500, but the 64 meg limit was a dealbreaker for me. I had been considering MP3 CD players, and even bought one as a gift for my sister, but never did buy one myself.
The Rio Karma ended up being my first portable player, followed by an iPod Nano (scratch if you look at it edition) that I used for podcasts. Since then, any on the go music has moved to my iPhone.
I can't remember what my first actual MP3 was, but it was played with a pre 1.0 version of WinAMP on my AMD 486 120mhz system. It was amazing to hear the quality, but it came at a cost of consuming nearly the entire CPU to do it. Once I moved to a Pentium system, I began ripping music from CD, and burning them back to CD-Rs.