The first probably was Leisure Suit Larry in the Land of the Lounge Lizards, which I probably first played in 1990-91 when I was 4 or 5.
I didn't know it was an adult game at the time though, I thought the graphics looked funny and always died long before you got to any of the places with sexual content (I think I only got from the first screen without being killed by a car once or twice in the first months of playing it).
The next probably was Blake Stone, which I got the shareware version of in 1993, when I was 8, I didn't get to play Wolfenstein 3D and Doom until many years later.
The first mature games I bought myself (while being too young, even though nobody in the store cared yet) were Carmageddon and Grand Theft Auto, I probably bought Carmageddon in 1999 when I was 13 and GTA in 2000.