Wow, guys. Do some reading, 2 great books on the subject were released in the last 2 months; Assimilate: a critical history of industrial music AND Ministry: The gospel acording to Al Jourgensen. I suggest the Ministry book; it's a quick read and extremely engaging. The short review; Al is fucked.
Anyways, it all really depends on how you classify Industrial music. After reading both books, I would say that the first proper Industrial album is probably Ministry's "Twitch".