first time raidframes appeared was down at gadgetzan when open pvp started. the next was at tarren mill only some hours later and the battle waged for ...dunno days? whenever i came back there were still people fighting and as a shaman wielding a 2h axe with double/tripple wf proccs only mad people did not run away from you. aaahh the good ol' days.
first pve raid was ubrs and it got me into raiding very quickly! than the usual mc, bwl, aq up to firelands where i stopped playing (never got my hands on a completed version of a legendary :-( )
Ulduar was when I started raiding. I was unguilded at the time due to some disagreements with the way my previous guild did things, and I was invited by a friend to join his guild's run. After my second week running with them in a row, I was invited to join the guild (apparently I was the only warrior tank they knew who knew how to effectively break fear AND interrupt casts on Aureya... most of the ones they had brought could only do one or the other...). That guild fell apart not long after that, I joined my current guild while ToC was current, and have been with them ever since.
karazhan, but my first raid that i killed the last boss was naxx in wotlk. back then i was in a raid guild and it was awesome. then I somehow got bored of wow and quit. but wotlk was the best time of my wow life :P
First time I set foot in a raid was at something like level 61, a bunch of 80's carried me through classic Onyxia and I got an upgrade
First raid at max level was Sarth 10m. I didn't know the fight, nor how to play a ret paladin, really. We cleared trash, I asked what to do for the boss, they said kill him, don't get hit by the fire, and drag adds to the front of the boss (we were one tanking it). I proceeded to tunnel vision and die very quickly while doing somewhere in the area of ~1.3k. Pro status.
I'm not counting UBRS, it didn't have the same epic feel as walking into Molten Core for the first time. It was hilarious though, had to wait for 40 people to get ready and you're just confronted by this massive cavern with two monstrous Molten Giants standing guard. So many wipes just off that pull! I'm not even sure we made it to the first boss that night.
I was a hunter and I remember doing Lucifron for the first time and getting the tranq shot tome for Magmadar, that was interesting.
There are two answers to this question in my case... My very first raid was Onyxia... at level 74. But a real raid would be Naxxramas 10 man. I had no idea what was going on whatsoever, and my damage was horrible. My only addon was QuestHelper which of course did not help me much on fights such as Thaddius. The group was full of people such as myself, though, and we didn't get very far. Even then, it was an exciting experience - got me hooked enough to remain a raider to this day.