Wow, lot of "youngun's" replying to this post who's earliest memories are N64 and PS1 games.
Saw a few people say Commander Keen up there and that just made my brain hurt, not for making me feel old but because, as a child, my home was a Commodore household and DOS games were considered pure evil.
My brothers and I had an Atari 2600 but, having got it closer to 1982, it didn't last long when one of us convinced our dad to get the Colecovision. It was on this system where my best childhood memories began. My favorite games to play on it were the home ports of Zaxxon and Joust.
I got an Intellivision myself later on for cheap and, to this day, enjoy playing several rounds of SNAFU and Atlantis.
Beyond that, we had the NES and I was quite fond of Legend of Zelda, Castlevania (the first one), and Karnov (by Data East).
Also had the Commodore 64/128 and Amiga 1000. Loved to play Archon, Great Giana Sisters, Skate or Die, Lemmings, and Technocop.