Kane and Jericho [in WWF] instantly come to my mind when I think of debuts. Someone mentioned the Radicalz and that was a good one too.
Honorable mentions:
I thought Foley's debut as Mankind in WWF was pretty twisted and the feud with Taker that followed. First time I was introduced to Foley.
Also Pyscho Sid in ECW. Simply because he had major success in WCW and WWF, and then went to ECW a place where they supposedly hated those mainstream companies, but was over as hell. Outta everybody, I never thought I'd see that mf'er in ECW...
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