The first classic Who serial I watched was "The Three Doctors", so Jo, I guess. But it was probably the first season of Doctor Who Confidential that cemented in my mind the image of the screaming female Companion. One episode was all about the Companion and all the clips they showed of the female Companions was of them screaming at things. So, false advertising, really. ;-)

Though, they did tend to fall down and over things a lot. So many pointless twisted ankles...