Ohh, this is a tough one. You kinda have to be specific here: first one played, owned, or beaten?
I'm assuming first one played: I think it would have been Dragons Lair. Atleast, that seems to be my earliest memory. That or Atari Star Wars. It must have been something in an arcade. I also remember playing "Karate Champ" and "Bank Panic." Also, "Indiana Jones and the Temple of Doom" made an impression
I'm pretty sure my siblings had an Atari, but I don't remember ever playing it. I think my first exposure to a home console was the commodore 64. Specifically, "Ghostbusters."
My first PC game was "Chuck Yeger's Flight Simulator."
It's kinda of a blur. It would be better to give a list of early games, I think. I know the first NES game I played was "Kung Fu."