The first R-rated film I can remember watching was
Terminator 2: Judgment Day.
My parents rented it on VHS and watched it late at night after I had gone to bed. Only I didn't actually go to sleep, and instead wandered into the living room and watched for several minutes out of sight before they realized I was there. Surprisingly, they let me finish watching the movie. Thanks, Mom and Dad!
I also remember my mom letting me watch
Witness with her on TV (I can't remember if it was rented or on a movie channel), but that film came out six years before
T2, so that might have been the earliest R-rated film I saw. All I can remember is laughing bashfully at the scene in which Harrison Ford's character stumbles across a young Amish woman taking a sponge bath.
Sadly, I can't remember ever seen an R-rated film with my parents until I was old enough to buy a ticket for one myself, and I honestly can't even remember the first R-rated film I saw in theaters on my own. I shudder to think how it could have been something embarrassingly asinine, like
American Pie.