My first experience with Oddworld was at a friend's house. He had an Xbox and a copy of Munch's Oddysee, and I played a bit of that game for a while. Then, in my second experience, it was on a PlayStation 2, with a physical copy of the first game, Abe's Oddysee. It was back when I was a depressed, volatile teenager and because I gravitated towards FPS games back then, I stopped playing it after a while.
Now, that I'm branching out to other genres, I'm making my way through arguably the most accessible installment in the series: Stranger's Wrath, a standalone platformer/shooter hybrid, and really fantastic. Oddworld in general is unique in that it is overtly political, but done in a right, responsible way where the anti-consumerist messages are built into the fabric of each game's basic plot and the Oddworld itself. There are also spiritual themes in each game, and there's plenty of dark humour to balance things out.
So what was your first experience with Oddworld?
BUN-DUN-DUN-DUN. (the game over music)