I've been thinking about this all day and I really can't say for sure which celebrity death I can remember first. I always think of Grace Kelly, I was only 7 when she died. The pictures of this beautiful woman on TV, so young, so tragic, the daughter in the car, that was all impressive... but I'm not really sure, as I said...
Romy Schneider died 4 months earlier, I must have been aware of that, but I don't remember.