Mine happened in the mid '80s, when it was called Gay Pride. I was out to my parents, I had my first boyfriend. We wore T shirts with an inverted pink triangle and joined a march around London until it finished in Hyde Park for a free pop concert with various big bands (Erasure, Tom Robinson et al).
I remember we stopped outside No 10 Downing Street and chanted "Gay Rights!" repeatedly, then moved on.
At the start I saw an open deck double decker bus with guys on top yelling out "Coooeeee!".
I didn't go again to Pride for many years - next with my current boyfriend and got to see how much it had changed - from a protest march to a celebration. It changed over the years allowing us to march initially to only registered groups - gone was the spontaneous marching - gone was the free Party in the Park.
My first one was in 2008, when I was a high school junior. On one hand it felt good to be there with the one friend I was out to, and I ended up feeling really close to him because he spent the day dealing with me and my big swell of emotions.
On the other hand, I felt kind of invisible still, and like I didn't really fit into the wider queer community. There wasn't a lot of bi presence, and there seemed to be a bit of an undercurrent of that being seen as "cheating." Even if I don't identify primarily as bi anymore, that still leaves a bad taste in my mouth all these years later.
And then some kids were canvassing for Obama support as well, and that made it feel a little weird. Not bad per se, just weird.