My first exposure to Star Wars was that I got the Return of the Jedi comic book album as a birthday gift from a classmate at my birthday party in '83 when I was eight years old.
The first time I saw Star Wars (ANH) was on television not much later. My dad taped the event (on VHS :b ). I and my brother played that tape often. I especially loved the X-wings.
The Star Wars hype was much stronger at that time than it has ever been before or since - and even more so for a kid. We also collected action figures, swapped them, and played with them a lot. I also often played that I was Luke - as a jedi knight with a lightsaber, as I had read about him in ROTJ.
I did not see The Empire Strikes Back until the early 90's when I was a teenager, again on television. It was first by then that I realized why the "Jedi training school" that I had played with my friends as a kid had involved so much climbing in trees. :^D
ROTJ is the one that has had made the most impression on me, but I rank ESB as being the best Star Wars movie.