I actually never went to the Tel Aviv Pride Parade - it's always too hot and it's just too loud and noisy for me. I just don't have enough energy.
I always go to the Jerusalem one, though. The first time I went, it was the first ever Pride Parade in J-m. Very nerve-wrecking beforehand, I couldn't sleep at night, I was excited for going and also scared, because the dosim threatened us with all sorts of nasty stuff. But I remember I was getting ready to leave and my mom came to me and gave me some money. I asked what is she giving me money for, and she said so that I'd buy myself a souvenir or something nice at the parade - she said, "I know today is a Chag for you". I was teary-eyed there for a moment =)