Starflight. I'd read about it in ye olde Computer Gaming Monthly (RIP) and I didn't even have a computer that was yet capable of playing it (mine only had 128k RAM, needed a massive 640k!) but a friend of mine did, and so I played at his place, or rented time at the local library computer. Wasteland is a close second.
Though the very first game that I bought and played for the PC was Ancient Art of War. I remember I could have picked that up or Ultima III: Exodus. I would later go on to play Ultima IV and the rest, which was another phenomenal title.