If you include handhelds, my first games were Paperboy, Tetris, and Baseball for the Gameboy. (Got 'em all at once when I got my Gameboy.) But if you're talking about full consoles, that'd be Donkey Kong Country, which I got when I first got my SNES. (Yeah, I was a late adopter. I only got my hands on the SNES just as the third (main) generation of consoles was coming onto the horizon.)