Very first game: Donkey Kong and Super Mario Bros., for MSDOS.
First N64 game: Super Mario 64 (bundled with N64). First GB game: Pokémon Blue (before getting a Gameboy; used with Pokémon Stadium). First GBC game: Pokémon Gold. First real GBC game: Pokémon Crystal. First GBA game: Pokémon Ruby. First GCN game: Pokémon Colosseum (bundled with GCN). First NDS game: Metroid Prime Hunters: First Hunt (bundled with NDS). First Wii game: Wii Sports (bundled with Wii). First 3DS game: AR Games, Mii Plaza, and Face Shooting (all build in). First real 3DS game: Super Street Fighter IV 3D Edition.
I guess I should clarify. Pokemon Yellow was the first video I owned and knew what I was doing on, but I messed around on my brother's consoles before that. But back then I was around three and had no idea what to do.