I came into the religion by first intensely studying the publications on my own, and only much later having a Bible study and going to meetings.
I should have woken up as soon as I realized that the religion I knew on paper didn't exist in real life. But... I kept hoping that things would change, or I would change, and I would see it. Sadly, I never did, but I also never left. I quickly joined a foreign language congregation and the really close-nit and boisterous nature of that particular culture became my vision of what the religion was, and while it STILL was not what I imagined it was going to be, it filled quite a big hole in my life.
I should have woken up when they told me not to masturbate, which should have been nobody's business.
I should have woken up as soon as I realized that evolution was true, which was before I was even baptized.
I should have woken up when an elder told me he didn't like my hair style, and that while there was nothing in the Bible against it, the opinions of the elders are important.
I should have woken up when it hit me that I knew no more about the Bible 2 years (or 5, or 10, or 15...) after starting than I did 1 year after starting going to meetings.
I should have woken up every time I got a scathing glance or a snide remark when I told others that I was going to college.
I REALLY should have woken up when I decided not to hang my diploma on the wall because I didn't want to make my friends feel bad.
I REALLY REALLY REALLY should have woken up every time I mentioned saving money or having a retirement account, only to have everyone around me act absolutely appalled that I wasn't doing the "spiritually mature" thing by deliberately living paycheck to paycheck and not having any plan for the future.
I can go on and on and on, of course, but I'll add one last example: I should have woken up when they told me to treat other human beings as if they don't exist, just because those human beings just-so-happen to disagree with the self-proclaimed "faithful and discreet slave".