What was the first game I bought...? Hmm, I never really thought about it. It's a really hard question, in fact.
Most of my NES and SNES games were bought by my parents who would assume I'd like said game they bought (Mario, the Flintstones, Looney Tunes, Mega Man, etc). The only money I ever considered "mine" came from distant relatives as holiday gifts and I wasn't even allowed to spend it on "toys" (Videogames fell under the Toys category).
I guess the first game I was allowed to buy with said money was Pokemon Yellow along with a Game Boy Color, shortly followed by Pokemon Gold.
And now, I am buying games faster than the time it takes me to finish them. Seriously, I have like 5 to 10 games I haven't even started! I have a problem...
I also blame my job...