Ok, not really, but Megadeth can lay claim to being the first band online with an official website.
Megadeth frontman Dave Mustaine recently spoke with Full Metal Jackie and spoke about how the internet has changed music. Mustaine's views on the internet and downloading in general have been pretty progressive in previous interviews, but here he talked about anonymity and people being able to talk shit in this new age:
I think that if Led Zeppelin still had their groups intact with stuff like these gossip sites, [their manager] Peter Grant probably would have beat the f— out of these little punks. There’d be a lot of bones breaking in Hollywood. I think that would be really cool. Its kind of weird the way the Internet has wuss-a-fied so many people where they’re cowards who hide behind a keyboard and say stuff. Back in the day when people would say something bad about you in the press, it took some guts to do that. You knew who said it.
I have spoken a lot of shit about Dave Mustaine but I actually got to meet him face-to-face briefly and the results were magnificent. Another interesting piece in the interview is Mustaine claiming his band was the first to hop on the internet bandwagon:
I think that the Internet is great for certain reasons. If you remember back: October 31, 1994, we were the first band to have a website. We won just about every single award there was in the very beginning, so we’re not against the Internet at all. I don’t claim to be Al Gore or anything like that but we have been really involved with the Web ever since the whole music scene had made that transition over to being an online thing like that. I think that, done with good taste you can have social stuff like that.
In doing a bit of research, I was able to corroborate Mustaine's claim, after finding this article. The "theme" of the website was that you were visiting a travel site for Megadeth, Arizona, which was used as a marketing project for the band's album Youthanasia. Unfortunately, I could not find a version of the site from 1994, but the site did relaunch in 1997 for the release of Cryptic Writings and an archived version of the website from that era can be found here.
Here are two screenshots of the site:
For it's time, the site is pretty informative. Kudos to Dave for staying ahead of the internet curve. See, I can write nice stories about Dave Mustaine!