DinoPark and Red Alert were my first two games. Dinopark is the funnest game ever, and I am currently trying to find a download of it. It is a classic.
My first PC game was PickUp Express. It was very much fun to pay it. You can download that game here: http://www.hacktutors.info/2009/10/download-pickup-express-pc-game-and.html
I loveeee roadrash, it wasnt my first but i played that game with my cousin. CONTRA also, we pwned...
I think its gta 1 or some of this kind, icytower edit: actually its first prince of persia with 2d graphics it owned
My one was a puzzle game if I remember. I think it might have been something about the Famous Five. Yeah...great gaming start eh? xD Well to be fair, my first console game was Super Mario Brothers 3 so that makes up for it
My first PC games was Red Alert , Diablo, Age of Empire and Starcraft.....it was in there already when we bought our first PC.