Thank You, Jeeves by P.G. Wodehouse, 1933 (read 1967)
I can't be sure this was the very first Wodehouse I ever read, but it's a good guess. The paperback is marked 60 cents on the cover and my name is rubber-stamped the way I did on all the books I took with me to college. So even if it can't be proven, it can jolly well stand in for whatever was the first.
Suffice to say I have read (practically) everything ever written by the greatest master of comic fiction the English language has ever known, which is saying something. I've read most of them at least twice, and Thank You, Jeeves probably ten times or more.
What's the point? As Jessica Rabbit says about her goofball sweetie Roger, "He makes me laugh." Thank you, Pelham Grenville Wodehouse, for honest-to-God laughing out loud (not the spurious LOL of cyberspace, but the real guffaw) from the mere printed page. Wise and limitless Jeeves, silly and shallow Bertie and his Drones friends, country houses, trombones, banjos, nightclub raids, too-hearty females of marriageable age, and countless formidable aunts, Wodehouse is a return to an England (and later, New York) of innocence. Oh, and let us not forget the golf stories.
His biography reveals what I never knew, that misguided naivete led Plum down a road stinking of Nazi collaboration. Although never proven, the intimation turned many fans away, and soured his later life. But his fiction was ever sweet. Go and read and if you laugh, be the richer for it. If it leaves you cold, well, that's why they have horse races.
Recommended anthology - The Most of P.G. Wodehouse.