As far as I can recall, my first distro was SUSE. I remember buying it in a box, and installing it on my computer. Yes, I actually bought it on a disc rather than downloading it. I don’t think I had a disc burner back then, so that may have had something to do with it.
Plus, I think I wanted to support it by giving the developers some money for their product. That’s still a good idea. If you use a distro and there’s a “donation” link somewhere on the site, drop the developers a few bucks to help support your favorite distro.