When I was a child, my parents took me to church a few times. My brother and I always pitched a fit, so eventually our parents gave up. I would love to say that was the start of my journey and that we did it because the things they tried to teach us didn't make enough sense, but that would be a lie. The real sin that the local church made was to be super boring. So with my sanity waterline firmly unraised, I started my own religion. It had aliens, because aliens were cool. I even got a convert. (You are now free to laugh at middle school me.)
Eventually my friend decided that he didn't want to play the game anymore. (This also included an awkward conversation where he asked if I actually believed what we were talking about.) I remember holding firm to my beliefs because admitting that I was wrong would be embarrassing. This was my first taste of my brain really going crazy and rationalizing 'dangerous thoughts' away. My first steps happened when my brain finally calmed down and let rationality take hold. I realizing that I never wanted to do something like that again and I needed to watch my thoughts.
(I also learned that being a cult leader is super fun. If you ever need priest for the Bayesian Conspiracy I will be there with a funny robe on.)
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).