My first one was about 16, 17 years ago. Marion Zimmer Bradley was still alive and still accepting stories from unknowns for "Sword & Sorceress". A story I sent in got rejected, and the letter I got back was... not nice, but it was personal, and gave the right criticism. Even at the time, I could see she was right about where the story had gone wrong. MZB was a gem among editors because she tried very hard to give as many personal critiques as she could, given the number of submissions. A useful rejection is a rare thing, and she was a doll for giving them.
My next submission was in 2004. I know, because I still have that rejection letter. I sent a story to Fantasy & Science Fiction magazine. Said story made it out of the slush, through the first reader, through the assistant editor, and into the hands of the editor (Gordon Van Gelder). I know *that* because the rejection letter is signed by him, whereas rejection letters from earlier in the chain are signed by the rejector. He said "This story is engaging and the prose is good". Who cares if it's a rejection letter? I have good prose and an engaging story, says Gordon Van Gelder. That rejection letter's on the corkboard over my monitor.
In another 13 or 14 years, when I get the urge to submit something again, I may even get published.