Me and my brother used to import games all the damn time in the SNES/PSX/Saturn days. Not sure what our first was, but it was probably one of those shitty Japanese Dragon Ball Z fighting games on SNES. And not Hyper Dimension (that one was actually pretty good). We also had this great Yu Yu Hakusho game on Genesis by Treasure--I think it was probably the first 4 player fighting game? Very similar to Guardian Heroes, if I remember correctly. My first time with a lot of JRPGs was also in japanese: I played the japanese Grandia on Saturn long before we had any idea it might come to the Playstation, and we even imported Xenogears (imagine playing THAT in a language you can barely read).

Man, I'm getting all nostalgic just thinking about it.

I've imported 3 Ys games:
Ys: Oath in Felghana PC DVD Box edition: http://collectorsedition.org/game-db/ys-the-oath-in-felghana-dvd-box-pc-dvd-rom
Ys I-II Complete for PC
Ys 4: Dawn of Ys for the PC Engine

And I'm not sure if this was actually imported, but my cousin had this NES multicart called 31-in-1. We didn't realize it at the time, but it was a famicom cartridge attached to a converter for use on the NES. We just thought it looked weird. Apparently they were common in Eastern Canada at the time. 

One of my most loved game

No, not yet

Would have considered a few 3DS games if it wasn't region locked

Yup a lot.

Xenosaga 1 and 3 for instance. Same for DQVIII which had the FFXII demo.

Good times on Ps1 as well. Xenogears, FF origins, FF Anthology, FF Tactics.

Now I import from US PS Store. Tomb Raider 6$, Last of us 10$...

In 2005 I had a Wonderswan color and my father always helped me to import games (since in Brazil it is difficult to have access to games from Japan), Naruto: Konoha Ninpocho was my first of several.

Naruto: Konoha Ninpocho

If I had to pick one, which one should I pick, I played a Super Robot Wars OG for the GBA release. 

I live in Australia where games are ridiculously over priced, as are the digital versions usually, for the sake of artificial parity with brick and mortar stores. So there have been a number of times where it's actually been cheaper to order them from over seas, even including shipping.

Back in the PS1 era we ordered a copy of Dragon Ball z because, according to a magazine, the Game Shark or whatever cheat device I had could let us play it on our American console. It didn't work.

Most recently, I tried to but Dead or Alive Xtreme for PS4. My bank thought my card was stolen, deactivated it, and cancelled order.

My banks "fraud prevention" doesn't let me do almost any online purchases. It just warms my cold black heart...