What the first ever U2 song you herd? And then thought... "Well i just found my favourite band..." 
Hmm, it didn't actually happen like that. One of my first CDs was "Mystery Girl" by Roy Orbison which contains the song "She's A Mystery To Me", produced by somebody with the strange name Bono, presented in the booklet with a writing credit of "Paul Hewson (Bono) and David Evans (The Edge)". Also, the publisher was listed as something like U2/Blue Mountain Music Ltd.
Slowly, I started being curious about other recordings which all those musicians who played on my CDs might have made. Being a kid in my early teens in 1989 in a pretty remote place of the world, I didn't make much of the U2 mention at all. I didn't understand it to be a band name. Strange letters listed in front of a publishing company, that's what it was. Instead, I was watching out for Bono and The Edge, but only a little, since I had other names from a few more booklets to discover, too.
Only in late 91 did we get satellite TV. And in early 92, this song came on MTV which had that great guitar melody at the end and other great counter-melodies on what I today know is called the bridge: "One". Artist name was U2. I remembered that from somewhere. Next, I went back to the booklet of "Mystery Girl" and indeed, there it was. U2 turned out to be a band name. Who would have thought that? Certainly not me.
Luckily for me, they played a few more songs by that band on MTV's Greatest Hits and they were all quite good songs: "I Still Haven't Found What I'm Looking For", "Where the Streets Have No Name", "Angel Of Harlem", "All I Want Is You".
On my next visit to the record store, an hour's drive away from my parents' place, I had a listen to "Achtung Baby", "Joshua Tree" and "Rattle And Hum" and found a lot to like but I was pretty new to music so a lot of the sounds I didn't like (yet).
I didn't buy anything then.
After 2 or 3 more visits to the same store, I finally decided to go for "Achtung Baby". This one turned out to be pretty much a "grower" as far as liking songs is concerned, so at that point, it was my favourite.
The other discs have followed it later into my collection, even after "Zooropa" which I immediately liked a lot when it came out.
So the first song, technically, would be "She's a Mystery To Me". But I have to admit U2 never were my favourite band. That's probably due to strong competition from groups such as the Traveling Wilburys who were even more of a treasure trove to dig into because all of their members had solo careers with albums which have turned out to also be a very rewarding listen once I had found out about them.
I guess I'm more of a casual listener with U2. I got the albums and a few of the singles but that's about it.
