This is a relatively easy one and in some ways the one with the least story or background to them. MY first set of dice was a black with red lettering set of chessex dice bought from The Golden Eagle in Reading, PA during the July 4th leave I've previously talked about.
The set cost me $6.99 I believe (which at the time I thought was a ludicrous price for 7 dice) and came in a little rectangular casing that seemed to be at home for figurines than dice. They were the worst dice I have ever bought. If I needed to roll high, I rolled low. If I needed to roll low I rolled high. The dice seemed to want nothing more than to always allow me to fail ... except during character creation. The black set (as I call them) would always roll 4s and 5s during the character creation process (to which there were an unfortunate few) and as such I always tended to have really buffed characters.
To this day I still have the dice, and despite having the Birthday Set, the Green Set, the Red Set and the WotC Set the Black Set is still my go-to set ... even if I do routinely want to throw them out a window.