Well, I can't say it was the first game I swore at, since it's been so long, but Super Smash Bros. for the N64 is the game at which, from what I remember, I seriously threw a real string of insults and curse words. Back then, I wasn't particularly good at the game, and I used to play on very easy mode... but I really wanted to unlock Ness, which required (IIRC) to beat the game on normal with three lives at most and no continues. It took me forever (though I finally got him and he became my favorite character), but one particular try had me die with only a few HP left on the Master hand. Needless to say, I was furious.