I've always been an above averagely skeptical person. At the age of 10, whilst being subjected to a school assembly lecture by a local evangelical Christian organization, I came up with an alternative hypothesis to explain why so many people believed in God: perhaps they were just pretending to believe, with the purpose of making money through the donations of believers! A shocking moment of rational glory, though I kept it to myself.
At university I always felt there was something missing from my education in mathematical physics and later pure mathematics, but I couldn't quite put my finger on it until I discovered the transhumanist movement: ever since then I have edged closer and closer to singularitarianism.
I was finally convinced of the utility of rationality arts only fairly recently when I discovered that I had mistakenly defended a moral realist position, and looking back on my old writings I can now see that my above average intelligence had been blunted by above average overconfidence.
EY's sequence on rationality was obviously important in my transition to rationality, almost certainly the best post being "the bottom line", though earlier moments in my life that set me on the path towards mathematical physics should also be noted, such as my successful derivation of the derivative of e^x from first principles and a fantastic course on calculus and mechanics where we derived the range equation for a projectile using calculus.
Also important are my experiences reading about evolutionary psychology and realizing that what books such as "The Red Queen" say about human behavior is more accurate and gives better predictions than asking your friends what will happen or what to do. I think that this experience was important in that in provided the first instance of science leading to surprising conclusions about the real world around us which are commonly denied by almost everyone.
Rationality in a nutshell:
"Your effectiveness as a rationalist is determined by whichever algorithm actually writes the bottom line of your thoughts. If your car makes metallic squealing noises when you brake, and you aren't willing to face up to the financial cost of getting your brakes replaced, you can decide to look for reasons why your car might not need fixing. But the actual percentage of you that survive in Everett branches or Tegmark worlds - which we will take to describe your effectiveness as a rationalist - is determined by the algorithm that decided which conclusion you would seek arguments for. In this case, the real algorithm is "Never repair anything expensive." If this is a good algorithm, fine; if this is a bad algorithm, oh well. The arguments you write afterward, above the bottom line, will not change anything either way." - EY
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).