My first day's shelter? While I was playing it over the phone with my friend, because he wasn't actually home yet so we could play SMP, all he told me was "Gather resources.", and that I did. When night started falling a lot quicker than I expected it would (Yeah, like I actually thought a Minecraft day'd be a single freakin' half hour...), I built a roughly five-high, six-around, not-quite cube out of what I had. That is, some dirt, some wool, some wood planks, and some sand. This is when I found out it is very scary on your first night being stuck in a crypt with a bunch of stuff that you don't even know what is clawing at your door...wondering if you can hear the Creepers...and raising your voice because of the loud rain that started during the night muffling your voice. I spent over forty minutes stuck in that bloody deathtrap because of the rain... Also, it's when I found out that sand actually has physics. That was a terrible, terrible time and way to find out. I had to destroy the wool I used for the highest point, because sand was my last resource, plant the sand as the wall, and plant the wool as my roof. By that time it was already night and I was panicking because I was a meek, clueless, and simple Minecraft guy, rather than the zombie-killin' creeper-burnin' skeleton-shootin' hooah I am now.
That was a fun time.
I remember it fondly when I'm building enormous castles out of sandstone reinforced with cobblestone, then proceeding to build a 20-high, three-thick wall around a large perimeter of my castle, made of a cobblestone layer sandwiched inside two sandstone layers, and then building a couple of small cottages, guard towers on perfect points along the wall, castle-like stuff on the top outside edge of the wall (A block every other block, and a block on top of that. Spider-proofs it, gives you a shield when you're taking and returning arrow fire, and looks awesome as well.), and a gigantic wheat farm with an extra raised area to plant melons.
Good times.