Your first OST

Bastion. I own a lot of games with soundtracks because I'm a sucker, but I actually got the Bastion soundtrack separately through Amazon so I could download it anywhere. Transistor's was good too- I don't think it was quite as strong, but still good.

I have many Final Fantasy OSTs and all HALO OSTs. Plenty of others as well.

I never bought any game OST, but I have heard a lot the Payday/Hotline Miami soundtracks

My first OST that I ever owned is the Little Inferno OST by Kyle Gabler, the game itself is very pretty but the OST is so beautiful, and the best thing is that the OST is actually free to download from the developers' web!
Little Inferno is by far my favorite Indie game of the last years, and the soundtrack doesn't hold back either.

Suikoden 2 one that I obtained uhm with alternative methods :p

Hmmm.... I don't remember, because I already did it when I was much younger but it might be NFS Underground. Shits is fire, yo.

As for more recent Hotline Miami and FTL.

I bought the collector's edition of Bioshock 2 because I absolutely wanted it's OST.
It's terrific although a bit "old style"!
In the box you can find the cd version (in a black vinyl-like color) and an original vinyl disc :3

View attached image.

FF7

The Neverhood
American McGee's Alice
To the Moon
Alan Wake

No.

The only OST I've bought is the NIER soundtrack. That game has some great music!

Hunter x Hunter 2011

I think there is no game OST to buy in my country, maybe i'm wrong. But I would buy some.

I've never bought an ost, but I have ripped one for use as background music in another thing. It was the Chaos gate soundtrack

If you don't count osts that came with the game anyway, in that case I've got a handful.

Dustforce ost ... dude...
It was hella worth it !

https://www.youtube.com/watch?v=8_B8ekeZTCM

Skullgirls.

I CONSTANTLY listened to the Mechwarrior 2 (and Ghost Bear's Legacy) soundtrack that was on the disc itself back when data was on track 1 of a CD and CD audio was recorded onto the disc from track 2.

Purchased OST: Official MGS2 OST from a little Japanese import shop (in a very-rare Japanese shopping center in the suburb of Chicago). I looked for the Shadow of the Colossus OST, but by that time downloading mp3s was much easier.

Honorable mention: MIDI music of various NES and SNES titles

The first game's soundtrack I cared for (and so far almost the only as I rarely care for a game's music) and put some effort in to have was the one for Machinarium

Great music. Listen to it here: http://store.floex.cz/album/machinarium-soundtrack

Bastion, Mark of the Ninja, and Cognition are all high on my list

First OST I bought was the one of The Binding of Isaac but the first one I HAD to have was To The Moon

Way better to listen while playing the game, though!

The first soundtracks I owned were the Donkey Kong Country and Killer Instinct OSTs, both came with the games. So fucking good. The first one I actively sought out and HAD TO HAVE was the Silent Hill OST. It was very difficult to acquire at the time (where I lived, anyway), so it wasn't cheap. After that I got the soundtracks of SH 2 and 3, Final Fantasy VII, Resident Evil 1 and 2, as well as a symphony orchestra recording of music from the Resident Evil games.