Roberto Clemente for me was the first. I was only 9 and was shocked when I heard about on New Years day 1973. The getting that Topps card of him in 73 was a bit eerie.
Thurman Munson was shocking too. Then as goreds said seeing the game the next day on national TV was very sad and moving at the same time.
Jim Croce was one of the 1st celebrities I remember. I played his song Bad Leroy Brown on 45 record to death and was just little eerie after that hearing him on the radio or records.