I think my first step came from Christmas movies. I stopped believing in Santa when I realized that if he existed, all the adults in the movies would know there were presents under the tree that they hadn't put there- belief would have nothing to do with it. I didn't make the connect with religion until 15 years later- I was never religious, but I didn't actually call myself an atheist until a few years ago. I then benefitted in elementary school from having one or two not-very-smart teachers. This prompted me for the first time to start learning on my own, mostly about science. It was fantasy (esp. introspective heroes like the ones R.A. Salvatore writes) that first got me into philosophy. I didn't read about utlitarianism until college, and it just clicked. It was obvious to me that this made sense as a fundamental rule. Luckily I also knew enough about physics and computability etc. to realize that it is impossible to account for all future consequences of even a single action. So without an effective procedure, I decided that as long as I did all I could to do things that are right and think things that are true, I would do pretty well. And that led me here.
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).