I really dont know who, I was a strictly JPop girl for a good bit with the occasional Gackt/Malice Mizer. I was introduced to Malice Mizer/Gackt & Dir en grey at the same time, cant reallyt tell you the first song, although I THINK it might have been Au Revoir. But I didn't like Dir en grey. And was kinda meh on Malice Mizer and Gackt. At the time I was introduced I was GaGa over Utada, Ayumi, Morning Musume, Puffy, Namie Amuro, W-inds, V6, Smap and Glay (which although I know they are JRock and a bit VK I refuse to see it dont ask why cause even I don't know so technically you could say Glay was my first but I don't consider then JRock so...) But I think you can say Malice Mizer/Gackt (for some reason they go hand in hand) was the first band that I liked (and considered JRock). But I wasn't Gaga over them. It was like for every 20 J-Pop song on my playlist you would have 1 MM/Gackt song.
The band that has officially turned me into a J-Rock fan was Dir en grey (despite not liking them the first time I heard them) with Child Prey. I think that was 2 1/2 years ago. From Dir en grey I expanded. Although I am more of a JMusic fan.