There's a few geezers on here, but most of you are pretty young, getting your first games in the PSX/N64 era.
My first game was this:
Pre-packaged with my very first NES. I got it for Christmas from my grandmother. My very favorite grandmother, who continues to be awesome by the way. I remember being a little scared of the underground levels in Mario, and "cheating" at Duck Hunt by not standing some distance from the screen.
Also, I fondly remember these:
Classic Sierra adventures, played on our trusty 386. We didn't have the privilege of a color monitor, so we played on a green/black monochrome screen. Later, we upgraded to a 486, complete with color monitor. Dusting off the old 5.5" floppies (Remember those?) the games looked better than ever.
As for you guys and your Atari 2600s. Wow. Keep on gaming. Even after all those years. Awesome.