Sometimes, but not all the time.
Many Christians can point to specific, powerful spiritual experiences in their lives, though it need not necessarily be the first time in their lives they were influenced by the Holy Ghost.
From a Church of Jesus Christ of Latter-day Saints perspective, former church President Ezra Taft Benson taught:
The scriptures record remarkable accounts of men whose lives changed
dramatically, in an instant, as it were: Alma the Younger, Paul on the
road to Damascus, Enos praying far into the night, King Lamoni. Such
astonishing examples of the power to change even those steeped in sin
give confidence that the Atonement can reach even those deepest in
But we must be cautious as we discuss these remarkable examples.
Though they are real and powerful, they are the exception more than
the rule. For every Paul, for every Enos, and for every King Lamoni,
there are hundreds and thousands of people who find the process of
repentance much more subtle, much more imperceptible. Day by day they
move closer to the Lord, little realizing they are building a godlike
life. They live quiet lives of goodness, service, and commitment. They
are like the Lamanites, who the Lord said “were baptized with fire and
with the Holy Ghost, and they knew it not.” (3 Ne. 9:20)(source)
Sometimes experiences with the Holy Ghost (first time or otherwise) are overwhelming, obvious, and unmistakable. Others are quiet and gradual. Sometimes the influence & effects of the Holy Ghost are only evident in hindsight (e.g. Luke 24:32).
A useful analogy is the growth of a large tree. Watching it in real time the growth is virtually imperceptible. But over the course of a few decades the transformation is unmistakable: the tree we're looking at today is different from the tree a few decades prior.
My own experience is that the effects of the Holy Ghost upon people tend towards a gradual, gentle influence occasionally punctuated by dramatic, memorable experiences.