I'm aging myself here.
The first game I really played (aside from my granddads super old Pong console) was Sonic the Hedgehog on my Sega Master System II.
Don't remember much of it, but I know this: I never played a Sonic game since. I guess it just wasn't for me.
What about you?
The first game I can really say I played was probably Contra 1 or Super Mario Brothers 2
Although first PC game I can recall playing is Hereos of Might and Magic 1. Didn't remember doing much of anything but recall feeling very powerful fighting and winning with my small Black Dragon stack that had magic immunity