'First' is hard to say. My dad, a folksinger who played with Woodie Guthrie and the like before I was born was an 'influence', I guess. My first memorable connection to music was a vinyl record called 'a child's introduction to the orchestra'. My mother loved the Brahms Clarinet Quintet in B minor, and it became a great favorite of mine (still is). The beatles were a big influence in grade school - but I didn't play guitar until college. I went to college very young (15) and musically ignorant. That was 1975. Sitting in form rooms I was introduced to Jeff beck's Blow by Blow, Band of Gypsies, most of the Who and Kinks ouvre, King Crimson, Eno, Santana (Caravanserai, which I thinkI actually discovered before college on my own is still a knock-out album, and to my taste, the very best he ever did). I remember listening to some local radio station and hearing 'Eruption' and being blown away - but I quickly became disenchanted with fretboard gymnastics (Satch, Vai et al have never really interested me - I am mostly a 'less is more', 'music lives between the notes' kinda guy).
But the most seminal influence of all took place at age 16, when someone heard my sick sense of humor, ran out, ran back with Frank Zappa's Roxy and Elsewhere, to play me the song 'Penguin in Bondage'. Yes, it was funny as hell. And I listened to that side of the two-record set for a long time, oddly incurious about the rest.
Then one day I played the entire four sides. OMFG! What a band! Tight as a James Brown band, but somehow loose and swingy too. Incredible musicianship, incredible mix of rock, blues, jazz, modern classical and what I can only call 'cartoon music' (oh! early Text Avery et. al - those cartoons musically influenced me too!). Zappa's guitar playing is incredible, and it sounds like no one else on earth - which is high praise in my book, as I admire originality over raw technique any day - though he had technique up the (grand) wazoo too. The portion of the record with 'Echidna's Arf' and 'Don't you ever wash that Thing' was INCREDIBLE! Just went from my ear into direct brain overstimulation.
Then, about a year later, I bought his album 'One Size Fits All'. The guitar solo on Inca Roads (a live solo from Helsinki masterfully edited into the studio track) was (is) one of the most amazing solos I've ever heard. It goes through distinct 'moods' from pensive to celebratory, from a sort of angry righteous indignation to a kind of soaring victory. It also features his 'bulgarian bagpipe sound' - produced somehow by pressing the pick into the strings - I dunno, I still can't do it. But listened to that solo every day for three years. I never learned it - I was barely playing guitar then, and truth be told, I hate learning other people's solos, though I admit that if I had the patience, I'd learn a lot. But I listened to it, over and over and over. Every morning, it started my day.
There were (are) many, many more, from the Edge (I was treading similar ground on guitar in the late 70's), to oh, Robin Trower's Bridge of Sighs (simple, simple, simple, keep it simple yes!) to Leo Kottke and some of his antecedents, Townshend's power cords (Christ were they LOUD back in the 70's), the Clash's melting tower of Marshall sound at the Palladium the night they recorded some of London Calling (even louder than the Who!), Julian Bream, John Lee. Otis Rush. Several of the guitarists who played with Zappa and also with Beefheart. Oh tons.
And then there were the 'anti-influences': SRV, who though called 'the real thing' rarely played anything other than the same damn licks (Albert's) over and over ('Lenny' is a notable, beautiful exception) - there are SO many better blues players, Black, White and brown and Yellow, I have no idea why he got so big, EVH's overkill, Vai (he left Zappa for this crap? Oy vey.), all of the self-indulgent, mile-a-minute stuff that I can't even tell apart after awhile - as if the goal of music is to fill every possible space and silence with zillions of notes (I've seen this in classical pianists too, and am equally nonplussed). All of this 'sound and fury signifying nothing' pushed me farther afield into more experimental music and less rock and roll.