Not sure what bought this to mind, but anyway...
I clearly remember my dad playing me to sleep with the Brahms Lullaby on his harmonica when I was very young. One of my favourite memories ever.
Later on, (aged about 6) I remember being hugely emotionally affected by the third movement of Dvorak's 8th Symphony. I guess that was the first time I realised how beautiful music was.
Interested in hearing about your first 'important' musical memories.
UK people; 'Distant Hills' - the theme from 'Crown Court' made me cry when I was about 8.