One of the first bats used in Lou Gehrig's Hall of Fame career has a new owner ... and the going price was a staggering $1 MILLION!!
Heritage Auctions tells TMZ sports ... Gehrig first started using the bat during his college days at Columbia University -- and continued to use it with the Hartford Senators and earliest New York Yankees days.
The Hillerich & Bradsby stick features Gehrig's last name in block letters on the side of the bat ... as well as a message from the manufacturer, "40 oz.