Dreamwalker #0 and The Goon #1
Avatar Press, November 1998 and March 1999.
The Goon's very first appearance was in a short 4-page back-up story in DreamWalker #0 where The Goon and Franky are hired to investigate child possession. Apparently there was also a Goon preview in Avatar Illustrated, which was due out earlier but shipped late allowing Dreamwalker #0 to get to the public first with Goon.
Pre-dating both of these comic books is Best Cellars #1, an anthology that contains an early Eric Powell story entitled "Monster Boy". This is seen as a Goon prototype and is pretty rare with a print run of only 1,000 copies.
The Goon #1 came out four months after Dreamwalker #0 and CGC now label this the "1st full appearance of Zombie Priest, Joey the Ball, Franky & Goon" so we can assume they don't see the short story from Dreamwalker #0 as a "full" appearance. Interestingly the same 4-page story is reprinted as a back-up story in The Goon #1.
Eric Powell wrote, penciled and inked these early Goon stories, which were all produced in black & white.
Prices can be quite varied for these two books with The Goon #1 occasionally out-pricing Dreamwalker#0 but in most cases, and certainly more recently, Dreamwalker seems to go for more, despite it's larger print run.