First dungeon you explored as a PC.
That would be the Caves of Chaos from the Keep on the Borderlands. Mr brother ran me through it. I was mesmerized by the blue ink map. I remember very little of that session; mostly there are images of my brother reading box text and myself moving around Ral Partha Grenadier miniatures.
The idea of the dungeon crawl enchanted me. My brother had the old school dungeon tiles that were printed on cardboard. I used to borrow them and build my own dungeons. I also had a box of blue plastic kitchen tiles that my parents had left over from some home improvement project. I used to lay those out and use my Dungeons and Dragons action figures from Toys R Us (anyone remember those?) to create even more dungeons. I can see my seven year old self now, laying out a maze of tiles that I would populate with PVC goblins and orcs. My heroes would trek through and slay them while I rolled d6s and used my homebrew system, as I was still too young to understand the D&D books.
If you are unfamiliar with the D&D action figures from the 80s, or just need a good dose of nostalgia, check out this clip.
Toy Archive also has a good article on the old D&D line of action figures.
