As I've said before E3 2002 was the first one I was aware from looking at photos of it in gaming mags, the following year X-Play had plenty of TV coverage and afterwards G4 had tons of TV coverage.
You can also find a shit ton of photos of E3 on Flickr.
Looking over all this while I never got to be there in person it all looks very impressive with the booths, the booth babes and the debut of trailers, I remember my jaw hitting the floor when I saw the first trailer for MGS3 on X-Play, it was a completely unreal moment.
E3 2002, E3, 2003, E3 2004, E3 2005 were all pretty exciting, but by the end of the 2000s it had already transitioned to something people made fun of more than anything else, starting in 2006 with the infamous Sony conference and especially by 2009 the whole thing was basically a joke with fake games like "Milo" on display.
But I imagine it was pretty exciting for those first 10 years for those that got to see it and might become something that's legend grows over time as gaming and the whole climate surrounding it becomes shittier and shittier.