It all depends on how you define "first anime". If you want to mean "the first anime show that I watched on a regular basis" - that would be either Sonic or Thunder Cats or Robotech or one of a probably another half dozen shows in my childhood two or three hour Saturday morning regiment (what was my mother thinking?).
If you you define "first anime" as "hey this is pretty cool, what? its called anime? and there's more stuff like it and even better? Hm. I should rent or borrow some more anime tapes from someone. . " Than yes, Sailor Moon was my gateway into anime fandom =)