Bought my first audiophile gear off of Headroom.com in the fall of 2002: Sennheiser HD580 headphones, Total AirHead portable amp. The AirHead sucked balls. The HD580 were awesome.
First speaker gear came a year or 2 later, from a combination of a local HiFiBuys (aka Tweeter), Ascend Acoustics (online), and Crutchfield. Boy do I wish I could have that time and money back. When I later heard Tannoys at my first real hifi shop (Audio Atlanta), I wanted to dump all my gear in the trash.