I don't remember which was first... I played Shadowbane, Everquest, Anarchy Online, Asheron's Call, WWII Online, SWG and FFXI before WoW... I know there were others but I can't remember them at the moment.
Whichever of those was earliest.
*edit* I'm seeing runescape mentioned a lot, does that count? It might be my earliest then... For some reason I never really counted it among the other mmo's.