My first crush on a fictional character - my first crush on anything - was the Greek god Hermes. We had a lovely illustrated set of Aesop's Fables, and Hermes/Mercury appeared in a couple of the stories. I looked at the picture of Hermes, and had feelings I had not had before. I was, what? Eight? Nine? Ten? Somewhere in there.
I also developed a bit of a crush on Loki. I guess I have a thing for trickster gods.