First EVER? Probably either the Donkey Kong arcade machine or Asteroids, the old vector-display arcade cabinet. I remember when games like Defender were new in the arcades. And stay off my lawn, you damn kids!
Although the playstation was already out, my dad bought my sister, brother and I a second hand NES with a big bucketful of games, which we loved. Not sure what I would have first played on it, probably super mario bros, SMB 3, or Teenage Mutant Ninja Turtles.
Either Crash Bandicoot (the first one on the PS1) or Spyro the Dragon =) Good times. We didnt have a memory card though and couldnt understand what "saving" was so for a long time we'd turn it on, start a new game, turn it off when we eventually got bored, and start another new game next time!
Super Mario Bros. my brother kept telling me there was a 100 lives down random holes through the first 5 stages which is as far as I ever got because I was young enough (like 4 or 5) and kept jumping down to get them
Hrmmm was a DnD style (not sure if it was ACTUALLY DnD) game off a casette tape C64... not sure of the title.. would have been around 1985 when i was 3... didn't know what i was doing.. could only make out one or 2 words on the screen.
Apparently I goofed around with some Atari stuff my parents friends had in the living room when I was a tyke, but the first I actively remember was Super Mario Bros. My parents decided that I'd had fun, and got me an NES as a Christmas present when I was three.