I don't remember what my first box set was, but my first Mosaic was the Larry Young box. Also, my box collecting has been exclusively CDs.
I don't necessarily listen to boxes often, but I find that I've been buying them more often lately. Especially boxes with lots of extra and/or live tracks and videos that have previously been unreleased. Sometimes the Alt versions are more interesting than the commercially released ones - especially with rock music.
My first Mosaic was the Lee Mogan set, followed just a few months later by the Serge Chaloff and Jackie McLean. Before that, I'm pretty sure my actual first "box set" purchase was the Ornette Coleman on Atlantic. I listened to that box nearly every day for over a year—pure love. Then I discovered John Zorn's Masada (this was about 1995) and my listening turned a corner. Then, a few years after that, I discovered the JSP box sets, and my listening went backward chronologically, and I purchased the Jelly Roll, Armstrong 5's & 7's, Django, Bix & Tram, and Hoagy Carmichael JSP sets.