Saw it in cinemas - the George St. Hoyts cinema to be exact (in 2007 I saw the first live action TF movie in the same cinema complex (now called Event Cinemas). My dad took my brother, cousin and myself along to watch it. My cousin (who was a preschooler at the time) fell asleep, but my brother and were totally pumped!

A friend of mine who already watched the movie before me already told me that Optimus Prime would die and be replaced by Ultra Magnus, but then Hot Rod would become Rodimus Prime and replace him, and that Megatron would be rebuilt as Galvatron. I didn't care about spoilers back then. I must admit that I never made the connection that Hot Rod and Rodimus Prime were one and the same until then (ditto Megatron and Galvatron; although Galvatron's G1 tech specs portrays him as a different character, as we're seeing in the IDW comics atm).

My thoughts at the time included:
+ Spike swore!
+ Wheelie's voice. It was nothing like how I'd imagined it, and had been playing with my Wheelie toy up till then. I'd just given him a more exuberant voice and made him occasionally bust a rhyme (much like Blaster), but after seeing him continually speak in rhyme in that high pitched voice, I adjusted the way that I played with Wheelie. But character-wise, I always played Wheelie as a "Wild boy" survivor like character (I'd recently read Rudyard Kipling's The Jungle Book, so I based Wheelie on Mowgli).
+ Oh, so Scourge IS a Decepticon jet! Up till then I honestly thought that was a boat, and did think it was odd that he'd been placed with the Decepticon Jets in the 1986 catalogue.
+ Huh... so the Sweeps are just clones of Scourge. I'd imagined that the Sweeps are an army of various different kinds of generic Decepticons, but not all clones.
+ Huh... so the Junkions are all... okay, you get the idea.
+ So that's how you pronounce "Rodimus." I'd been saying "Roh-dimus" instead of "Rod-imus." Hot Rod ---> Rodimus! I get it now! Oh wow... that wasn't worth getting.
+ Awww... didn't get to see the real Ultra Magnus inside that armour. Maybe in the cartoon after the movie? (seriously, I wanted to see it)
+ zOMG! Transformers can die on screen now?!? (I was already used to seeing die in the comics, but seeing them play for keeps on screen was a new thing)
+ Wooo! This soundtrack ROCKS!
+ Oh, so NOW I know which actor plays which Transformer! Optimus Prime is voiced by Peter Cutler! (yes, I incorrectly recalled "Cullen" as "Cutler" until I saw the movie again on VHS about a year later )
+ There's a girl robot! Hmm... I wonder what R.C. stands for?
+ I want an Exo-Suit!
+ Whoa, Metroplex is huge! (why is the toy so small then? ) -- at the time, I didn't realise that Autobot City and Metroplex were two separate entities; I assumed that they were one and the same when I was watching the movie.
+ Unicron = e p i c

P.S.: Poll (re: how did you first watch TFTM?)