First ever - Sonic 1 on freshly bought Sega MD2. Then Mortal Kombat 1. I was 6. Just before the school. Then first on a friends PC - Diablo 1 then Neighbors From Hell (a funny stealth game). Same year, with one of my first school friends. First PS2 game was GTA SA, then FlatOut2. Then a whole bunch of games i dont remember at all. I was 8. Then first game on my own PC - GTA IV. I was 10. And the main reason i bought a 360 was Mortal Kombat 9, and as a bonus i got Kinect Adventures. I was 12. Reference point: i am now 16.
The original Roller Coaster Tycoon, the deluxe edition for even more swag.
I still play it to this day, RCT2 practically has all the stuff that the original had, but more, yet I still can't get over the nostalgia from the original. I think I enjoyed the campaign parks better in the original, because I actually had the patience to complete them without cheating, lol.
Back in the PS1 days my first ever game guess what? Was a racing game! It was Hot Wheels Turbo Racing and I still love that game, next I remember is: Nascar Rumble thousands of hours on that game too for sure, and finally: Megaman X5 my first and favorite of the series I just love everything about that game (btw that's where my X5 on my GT came from)