Let's see... Chronologically...
King's Quest V: First "hi-res" 256-color VGA game I played. After playing so many 16-color EGA era games, it looked absolutely gorgeous.
The 7th Guest: First FMV-based game I played; the idea of live actors in a video game was incredible back then.
Quake: First full-3D game I ever saw. Though it wasn't much to look at, it was huge since it was actually 3D.
Xenogears: My first exposure to an RPG with a dynamic 3D environment with full rotational mechanics that wasn't limited to the world map.
Final Fantasy X: First PS2 game, and thus first exposure to the higher poly count of that generation of games.
Oblivion: Though the game itself bores me, I cannot deny that its insane visual detail level caught my eye immediately. It was also my first exposure to a decent physics engine in a game, so it gets brownie points for that.
Super Mario Galaxy: Extremely well-done subtleties in environments and events; I've yet to see anything anywhere near as detailed and eye-catching when it comes to background, non-critical details.
Sky Render - Sanity is for the weak.
