When I was in elementary school, I had a few very good friends. Every day after school, I would walk around the school fields with this small group of 3 friends and play D&D-like pretend games. Being that I was very healthy and athletic with good self-esteem, I was foremost confused by a large number of my classmates who attempted to bully me. Taking pity upon them, in the 3rd grade I began wondering what was wrong with them and, yes, I even posited that it was better for me to be the target of scorn than others when I could defend myself and even strive to beat my classmates in any mental or physical feat (which I often did). I found the education system oppressively dull, as well. Obviously girls were favored and-- later I read studies that confirm this was likely-- I was discriminated against because I wasn't as cute as other students and liked to write things differently.
I think the simultaneous experiences of being accepted in a fulfilling and creative group which explored new possibilities while being rejected from the traditional track for reasons that were obviously irrational made it easy for me to become an individually-fulfilled autodidactic student of philosophy and, from there, a student of everything else. I formally adopted rationality 6 months ago after encountering HPMOR, analyzing it from a philosophical and psychological basis, and finding that it was a stupendous new arena for me to hone my skills within and perhaps utilize for affecting broad-scale social change.
Yudkowsky, in response to your query: I believe these issues are mostly settled in childhood (at least before the age of 18, perhaps younger). In the short run, to affect change, it may be best to simply have lots of children and raise them very well (this idea is very comforting). The most important point in the macro-scale is, of course, to overcome class contradictions which interfere with the creation and utilization of scientific data to improve people's lives, i.e.: "The purpose of socialism is to liberate science from its class ties and make it available for the transformation of society." -Marx
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).