I don't remember my first game, but I remember my first few. I'm not exactly sure which one was first but I know they were all on the PCJr.
I remember playing King's Quest, Jumpman, and Shamus before anything else. I couldn't really play King's Quest very well at all, but it was neat to look at (same as Zork but that one wasn't so neat to look at). I remember a few other games like Fraction Fever, Gertrude's Secrets (another learning game), and Facemaker, but my first ones were definately King's Quest, Jumpman, and Shamus. I also remembering slowly learning DOS (I was like four or five probably) and thinking that was about the coolest thing ever.
I also remember the first time I saw a NES. I was at a friends house who had Laserdiscs and The Legend of Zelda and I thought those were just about the coolest things ever. I don't remember when we got an NES but I definately remember going to his house and playing Zelda and just being fascinated.
Both of those are my earliest gaming memories and funny enough I know the NES was the first console my family owned, but I can't remember my first experiences with my NES. That said, I still have my original working NES. ^^