Probably Wolfenstein 3D, that or Duke Nukem (side scroller).
I remember things like Commander Keen, Sonic, some random detective game, Alex the Kid, The game where you're a caveman and you throw rocks, Jude of the Jungle, School Mom (actually pretty good for listening to musical score when you don't know how to play a song).
The first FPS game I played (except for WS3D) was Descent 2. That game was amazing.