The first thing I downloaded at home was Star Wars Imperial march using a 56k modem. But before that a colleague of my father made a fair bit of money using his relatively fast internet connection to download games and apps from newsgroups, effectively running a subscription service offering 1 CD each with programs and games per month. I still have the Mp3, but the CDs are long gone.
Edit: I just recalled that on one of the CDs the game Battlecruiser 3000AD had a virus - it complained that the executable had been modified, and looking at the exe with an hex editor I found the Signature “At the grave of Grandma…” In the file. A quick search with a manually defined search pattern using f-prot revealed that nearly every executable on my PC was infected. At least my efforts were able to protect a lot of people from the same fate when I reported back to that guy.
Yup, this one: https://wiw.org/~meta/vsum/view.php?vir=245
Our version of f-prot was severely outdated, and remediation method of choice was a full reinstall while booting from a clean 3.5 inch floppy.