I cannot recall specifically what the first game I played was. All I know is that it was either "Bouncing Babies", "Alley Cat" or "Castle". I suspect "Bouncing Babies" was the first as it was, by far, the easiest.
The first game I played on a console was Golf, for the NES. The first arcade game I ever played was almost certainly Pac-Man, but there remains the possibility that it was CABAL. The first true PC game I played was Falcon 3.0, followed quickly by Doom. The first game I played online was Duke Nukem 3D. The first MMO I played was Anarchy Online.