I think either the Atari 2600 or the NES have to take this one.
The Atari 2600 pretty much established what we think of as video game consoles. While the Fairchild Channel F already had programmable ROM cartridges, Atari had been planning it for some time (as in they didn't need the Fairchild for the idea). Here's a list of what it managed:
-Provided the clearest break from dedicated pong consoles by establishing and popularizing many of the conventions still followed by consoles to this day
-Popularized the interchangeable cartridges for games
-Had four (or in other models, two) controller slots, allowing for multiple types of controllers and not having them be hardwired in as was typical
-Had a wireless controller
-Went about grabbing licenses for various arcade games or intellectual property, essentially inventing the concept of the "console exclusive"
-Largely responsible for the entire concept of consoles, video games, and home gaming becoming mainstream knowledge (there was a time, especially in NA, where many people thought of video game consoles as simply being "an Atari", much like later on the less informed would often refer to consoles as "a Nintendo")
-Responsible for the birth of the 3rd party market, including the first 3rd party dev company (Activision) which was composed of former Atari employees
The NES is really the only console that approaches the Atari 2600 in importance
-Restored the North American Market, which is a pretty darn important market. Also aided in bringing Europe back from computers (such as Amigas and Commodores).
-Established the first real quality control for their console, attempting to avoid the excess shovel-ware that helped sink Atari
-Invented the great great grandfather of all modern console controllers, abandoning the joystick for the d-pad and providing width so that it would be more comfortable to hold while also including a pause button, a select button, and both an a and b button (it's surprising how superior this was to the controllers used by the Atari 2600/5200, Intellevision, Colecovision, Oddyssey 2 and so forth)
-Unlike the Atari 2600, the NES featured many homemade, 1st party IP "killer apps" in the form of Mario, Metroid, Zelda and so forth, something other console makers would come to attempt to imitate
-Was able to win over Americans as a Japanese company, something that initially made some uneasy in a time where Japan's economy was expected by many to catch or overtake the USA's
-Finally, perhaps the single most important contribution any console has made to the industry is that the NES showed both that video games were not a fad and proved that the industry could remain stable, profitable, and accessible.
I imagine there's plenty more if I kept thinking about it, but these two are rather clearly the most "important" (which is not synonymous with "best", "most popular" and so forth) consoles ever made as far as their impact on the industry is concerned. Which I'd pick depends on whether credit should be given to Atari for some of the flaws of their business model that Nintendo later corrected, as that correction only took place due to Atari's pioneering years earlier. It's rather unfair to punish the Atari 2600 for stepping on a couple landmines while trailblazing the industry.
Otherwise, most other consoles were following trends that existed with or without them, but these two very much invented the trends.