2001. Dreamcast was being discontinued so I took the money I had earned working with my uncle to buy one from Best Buy. They were only $50, so I brought a phat stack of $1s in the buy it, but I don't think I bought a game with it. My buddy had a Dreamcast before me and apparently the DC just didn't care about burned discs (as in, you didn't have to mod the DC for it to read burned games), so I had Dead or Alive 2 and some other games burned for me.
Can't remember my first software purchase, but it was a PS2 game.