Definitely EGM and Gamepro back, in 95/96; of course, I remember reading about CES in Gamepro (or was it Nintendo Power?) even earlier.
As far as watching it live? Maybe since 2004, definitely by 2005. I used to take off work and/or school for it, except for my short tenure at EA. My team was between projects, so we just watched E3 stuff all day. Nowadays, due to working in academia I don't really do much in the summer anyway.