TOD
For me, the most shocking nude scenes are those little surprises you get when you least expect them, especially from the people in front of the camera who you least expect them from. I think someone mentioned one in About Schmidt that certainly qualifies. (I do love that film, though.)
As for favorites, that's a good question. I love Nudie for all the reasons, not just for the nude scenes, but certainly for the way it celebrates the genre it's paying homage to. I have other favorites, and I'm totally blanking on them right now.
And as for the first one(s) seen -- To the best of my recall, I think my first was The Lickerish Quartet (1970), and I don't even remember the nudity or how much of it there was. The reason I even saw it was that I'd just turned 21 while at school in Cleveland, and there was a theater not far from me that showed "exotic" and "foreign" fare, and I decided to treat myself to the act of showing my drivers license and walking into an adult flick. Had I seen anything of the sort prior to that? Maybe some kind of porn, but in those pre-video (and my pre-California) days, I'm not sure how or where I would have been shown any. Someone also mentioned The Harrad Experiment, and I went to that probably expecting something wild and crazy, which I probably didn't get, and also to see Tippi Hedren in something other than the Hitchcock films.