[qimg]http://origin.arstechnica.com/articles/culture/sega-genesis-turns-20.media/genesis_system.jpg[/qimg]
The original Sonic the Hedgehog was the first game I remember ever playing
[qimg]http://www.nerdles.com/wp-content/uploads/2009/11/SONIC.JPG[/qimg]
(For some reason this case says "Sega Mega drive" although I remember distinctly this is what the game case looked like for my copy of sonic and it said sega genesis on it. I think Mega Drive and Genesis are the same thing though)
... on top of Duke Nukem (which is still one of my favorite games)
Jetpack on the PC was my first. The game ran on MS-DOS.
I'm not 100% sure what I played first. Whatever it was, it would have been either Atari 2600 (moon patrol, pitfall!, etc) or the ascii games on the KayPro II (CatChum, Ladder, etc)
I'm not too sure which was the first, but the ones I remember from way back when are:
Road Rash for PC
Sonic 2
Mortal Kombat
[HIGHLIGHT]Yoshi's Island[/HIGHLIGHT]