I played demo versions of Wolfenstein (wolf.exe) and Doom (doom.exe), but the first one I owned was Duke Nukem 3d (duke3d.exe). I remember having a boot floppy so I could maximize my ram for playing (ah, gotta love editing your autoexec.bat and config.sys - simplier times).
I'd tie up the phone for hours playing with my friend via phone on our custom-built maps (so much fun - I think I still have the editor and the maps somewhere). We even made our own .voc taunts
If you're playing the first map in multiplayer, the hidden rooms in the street area are the cheap areas to pick off your opponent. Survelance cameras made that game playable
Ahhhhh... 1994
EDIT - damn, I'm old. I was 14 in 1994 :-(