Hmmm. On my first dedicated ereader (a Sony PRS-505), I think the first book I read was Cruddy, by Lynda Barry:
http://www.goodreads.com/book/show/29015.Cruddy
The first ebook I ever read was probably Riding the Bullet by Stephen King, since it was available exclusively as an ebook, and I think that's what got me started with Peanut Press (AKA Palm Reader AKA eReader) way back when. I read that on a Palm III, sometime in early 2000, IIRC.