My first game was Super Mario World on the SNES, it's a great game. I remember the first time I finished it when I was about 4-6, it was also the first game I finished.
My first game I remember ever playing was Super Mario Bros 3 and I was about 3 years old at the time. I love the raccoon tail and just flying around. I know it's not a raccoon but I forget the correct name for it.
Mine was Sonic the Hedgehog 2. My older brother would play and I would watch it was the most fun ever I remember. Oh and Altered Beast that was awesome