I guess pong or a variation of it on one of the many clones that were released.
If that doesnt count as a console, then the first was actually one I input by hand on a ZX Spectrum 48k (Magazines at the time would list a few "indy" games in BASIC - Beginners All-purpose Symbolic Instruction Code)
The one I chose was a Centipede clone, which after about 2 hours of inputting, made me wish I had an Atari 2600 and a copy of ET.
The first real title I played was a game called Harrier Attack.
Im guessing most people don't have a clue what I am talking about, but some older readers may enjoy the nostalgia
Obligatory:- You kids today don't know you are born!