Well, I would go with a band which reminds me mostly of my childhood (like 10-12) - Pink Floyd.
We had several MC tapes at home and when I was tired of listening to the local radio, I played some of them. Among a group of interesting tapes there was the one - Dark Side of the Moon. The album cover itself was my favourite since I was into science before I even got any physics class. The variety of sounds probably started my habit to analyze what each instrument was used for. I remember that I mostly enjoyed "Money" and "Time" but it actually took me about 10 years to fully appreciate the album as a whole.
Around the same time we got The Wall. Though I didn't understand any of the lyrics, somehow I was able to realize that they have something important to say.
In general I'm thankful that the first bands I've ever listened to were Pink Floyd, King Crimson etc.