There were two big rationalist cascades that I have gone through.
The first was kicked off at age 14 when I learned about the idea of a logical fallacy, which lead me to going through a binge at wikipedia in an effort to learn all of the ones listed. This directed me to the skeptic's dictionary and Carl Sagan's baloney detection kit, as well as some books listing common errors in thinking.
After about a year, I thought I had a pretty good grasp of what counted as a good argument, one that didn't fall in to any of the traps that I was aware of, I was aware of hundreds of traps you see. In retrospect, that should have tipped me off to a deeper problem. Luckily, I didn't work on anything important with that mindset, just hung about in forums and IRC showing off my "rationality".
After doing that for about two years, on my last birthday, I received a copy of Godel Escher Bach as a present, and saw Douglas Hofstadter make an abridged version of the idea in the Principia Mathematica, an axiomatic, logically rigorous way to do number theory, and it became apparent to me that informal ways of "proving" things were just inadequate. Shortly afterward I discovered Overcoming Bias, where Eliezer's essays greatly inspired me to think rationally when I don't need something proved. Going through SICP and learning the mathematical basis of Newtonian mechanics hammered home the logical, axiomatic approach.
Here's hoping the trend continues and I experience a third cascade in another few years.
To break up the awkward silence at the start of a recent Overcoming Bias meetup, I asked everyone present to tell their rationalist origin story - a key event or fact that played a role in their first beginning to aspire to rationality. This worked surprisingly well (and I would recommend it for future meetups).
I think I've already told enough of my own origin story on Overcoming Bias: how I was digging in my parents' yard as a kid and found a tarnished silver amulet inscribed with Bayes's Theorem, and how I wore it to bed that night and dreamed of a woman in white, holding an ancient leather-bound book called Judgment Under Uncertainty: Heuristics and Biases (eds. D. Kahneman, P. Slovic, and A. Tversky, 1982)... but there's no need to go into that again.
So, seriously... how did you originally go down that road?
Added: For some odd reason, many of the commenters here seem to have had a single experience in common - namely, at some point, encountering Overcoming Bias... But I'm especially interested in what it takes to get the transition started - crossing the first divide. This would be very valuable knowledge if it can be generalized. If that did happen at OB, please try to specify what was the crucial "Aha!" insight (down to the specific post if possible).