My first Key anime was Kanon, as I was introduced to it by an old Youtube video centering around the end of Mai's arc.
For the rest of Key's works, my way of discovering them varied.
Air - I was browsing around Youtube for anime openings and stumbled across Air's several years ago. To this day, it's still one of my favorites.
Clannad/Clannad After Story - I used to be obsessed with AMV's (still am, but to a lesser extent), and I was introduced to Clannad while looking for sad AMV's.
Angel Beats - I don't know if I got introduced to the series before this, but my earliest memory of it is seeing it in a top 10 saddest anime video.
Little Busters - This is probably the most unique way that I got introduced to a Key series. Several years back, there used to be a certain rhythm game on the Google Play store. It's since been removed, but I used to play it constantly. The songs it had were so random though. It had a Linkin Park song, a weird German song that I somehow like and still listen to to this day, and a few Hatsune Miku works as well. And of course, it had the Little Busters opening theme. Like Air's, the Little Busters' opening is still one of my favorites.
Rewrite - I think I got introduced to Rewrite while looking for romance anime on MyAnimeList, but dismissed it due to its low score (I don't think I made a bad decision there).
For Planetarian and Harmonia, I wasn't aware of their existence until I specifically looked up a list of Key's works.