Um I know it wasn't my first but my earliest memory is playing a Jedi nights game at my friends on a LAN, he was Yoda and I was Vader. Then suddenly Duffman showed up and killed us both, turns out his dad was on the LAN and had a skin.
I have long forgotten, I was probably 2 years old at the time, how the hell could I remember? I remember lots of games from when I was little though, mostly handhelds, I only played systems like the super nintendo (I'm 21 now) when I went over to friends houses. That is what really sucked about being the first born boy in the 90s, instead of being born into games through an older brother, you have to convince your parents who are a bit too old to be into the home console generation that you really REALLY need a PS1.
The one I remember the most clearly was getting the Prince of Persia demo from the guy at Radio Shack. They had it running on a machine in the front of the store and I was blown away by it. I played that demo over and over and over and over and over for a long time until Prince of Persia 2: The Shadow and The Flame came out which I got the full version of.