To a considerable degree, I was "born rationalist" (although I can easily see how I could have been born as a lot more of a rationalist than I was). I have always passionately sought efficiency, and I liked rigor.
I was raised by irrational people and it took me long to break some of the irrational beliefs - I was 16 when I realized that "older people are nearly always much smarter than kids, and this implies that they are also right in nearly all cases" is wrong. At that time, I already knew about expected outcome - in the past few years, I had the feeling that I have "greatly improved since last year", but I don't have a clue on what have caused that feeling. So, I was 16 when at one moment, I had a deliberate idea for something which was against my emotions (who were inactive during planning) and when it came to executing it, I found myself very hesitant, seeking ways to convince myself to discard the plan (all of my arguments for that were ridiculous) and I realized that my emotions might intervene in my thinking without me realizing it. That was a moment of big realization for me. After that, it became "my most important idea" and I don't remember how exactly did it help me, but I was very convinced that it helped me a great deal. It still didn't make me a skeptic, because I was usually thinking that "it's most likely to be true if so many people support it" and "if there was any contrary evidence that is publicly available, every follower of the idea would just look up the evidence and resign from the idea, it would spread like fire". That's why I also believed in some supernatural ideas. There was even a popular TV show in my country for competing clairvoyants!
Until I was about 18, I believed my father is very intelligent and should give very useful advice (I imagined myself after 20 years). At that point, I thought any sign of irrationality to come from lack of intelligence. Then I moved in London to live with him and study there. To my big mystery and surprise, I noticed that he has this "emotional thinking" and I couldn't think of a possible explanation ("maybe I'll be like that when I get 40 years old? I must preserve my rationality"). Then I received a PM on an online community and after a few messages, we exchanged Gmails and started chatting. That person familiarized me with the concept of dysrationalia, skepticism and biases. Until then, I only knew little of biases and I haven't yet heard of the other ideas. But even before that, I always followed the expected outcomes and felt that all the fuss about terrorism is exaggerated and strongly avoided alcohol (although I liked it) because of the expected outcome again and so on. After my encounter with that mysterious Internet person (which lasted more than a month), I was a full-blown rationalist.
And through all of that time, I was close with another person who thought like me. Then he met another guy who was like us and I "converted" someone I knew online and now there is 4 of us. We have some additional ideas about rationality that aren't popular in the Sequences (not sure about the comments or the community as a whole).
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).