Well I didn't really start playing video games until I was 11 and for a few years I wasn't even interested in any M-rated games, so it never came up. I was quite happy with Spyro the Dragon, Sly Cooper, Ratchet and Clank, Final Fantasy, Kingdom Hearts and so forth. The first M-rated game I wanted was The Elder Scrolls IV: Oblivion, which was pretty easy to convince my parents to let me play because I could use the fact that it was originally rated T to my advantage (and Patrick Stewart. We all love Patrick Stewart). After that I found out about BioShock and I ran into problems with that one because my mom had seen my sister playing the part in the PS3 demo where a Splicer hits a Little Sister. She was appalled at the violence towards children and said something about how watching that stuff poisons our brains or...y'know, whatever else those types of parents say. It took quite awhile, but eventually she caved and bought me BioShock 2 for Christmas (by mistake, she'd intended to get the first for me, but I kept it of course and then was allowed to buy the original).
In general, getting my mom to approve of an M-rated game has always been a big hassle, unless it's the sequel to a game I already own and then she doesn't have any problems with it (she didn't even bat an eye at Skyrim and is going to buy me BioShock Infinite, for instance). It was kind of awesome when I asked her if I could get Assassin's Creed II though, because she asked the woman working at EB Games if it was suitable for someone my age and she, along with several customers who were in the store, started going on and on about how amazing ACII is. Since I'm going to be turning seventeen in a matter of weeks though, I really won't have to worry about getting ahold of any games I want in the future.
Also I convinced my older sister to buy me Fallout: New Vegas a little while ago because I knew my mom wouldn't be okay with me blowing people up into sticky little chunks. That turned out to be a huge mistake since, after she found out, she guilt-tripped me for a long time in addition to taking away the game. I really hope she gives it back one of these days; that would be twenty bucks right down the drain.