I don't remember what the first thing was, but before I was able to get toys I occasionally humped things that were big enough to support me at least partly - mostly the arm of my computer chair.

So I'm not sure if this is only aimed towards women, but I'll go ahead and tell my story anyways. This might sound odd, but... When I was about 16 or 17, I used the wall in my shower. One night during a shower, I was already mid session, when I (for whatever reason) pressed myself against the wall which was all soapy and slippery. I was fully erect, so it was pushed against the wall and pointed at the ceiling. The wall was cold, which felt great against my cock on it's own, but then I started sliding it up and down the wall, then back and forth... It created an amazing sensation. So I'd alternate between the wall and my hand till I was about to finish, then assault the wall with my man juices (lol)
I'm sure that reading this, you've got a pretty ridiculous image in your head. As ridiculous as I may look humping a wall, it feels great and I still do it every once in a great while
But princess, what did you use? You didn't say ;P

A hole in a stuffed animal, pillows too