Hrm... My first memories of console games would have to be the Mario Bros./Duck Hunt combo cartridge, complete with the gun. Many fond memories of me playing easy mode - barrel right in front of the TV - and my father and uncle playing hard mode - 8 feet away, which looked like a lot to my 5 year-old eyes.
On the other hand, my family has been and always will be PC gamers at heart. Quest for Glory, and Jane of the Jungle, games on 3.5" disks from Egghead Software, developed by the mighty Apogee Games.
Thanks, I just nostalgia'd all over the place.