First Time Ever?
See, Rey used to be in this little wrestling promotion called WCW. In 1999, at Superbrawl that year, Rey was in a Hair v. Mask match and lost. Therefore, he lost his mask too. (It was Miss Elizabeth's hair at stake by the way, not Kevin Nash's, who was the one who pinned Mysterio for the win.)
When Mysterio signed with WWE in 2002, Vince McMahon wanted him to wear the mask again.
Mysterio also unmasked himself once in the ring-- it was after Eddie Guerrero's death as a sign of respect, although he put his head down so his face could not be seen.
For luchadores, the mask is so important that wagering it signifies the final battle in a rivalry, and many times the one who loses is heading toward retirement. Mysterio said losing his mask at Superbrawl was disappointing and embarrassing because of the insignificance of the match.