First campaign setting I played in? Easy, TSR's The World of Greyhawk, 1980. Chris, our DM bought a copy, then we poor starving college students bootlegged it.
Prior to it's publication we were already playing a campaign, although we didn't use the term. We were just going on adventures one after another, playing home brewed adventures intermixed with TSR modules. Most f the group had gotten together before I moved south and joined them I know they had done the Temple and the Giants, but I got there for Vaults of the Drow. Of course, I may have my timeline confused over the decades.