First ever?
Something on the spectrum. Probably some stupid thing my dad coded up in BASIC on a borrowed one (before he put us to work typing code in for him). Or take your pick of Daley Thompson, Turbo Esprit and some horse-race betting thing. Far too young to really understand much of it though, apart from enjoying the colours, the ability to drive around a virtual city, and out-tug-of-war some dude called Gus.
First which made any impact?
Donkey Kong on a teacher's Atari 800. Or the educational stuff on the classroom IBM. Both of which were pretty captivating and led to:
First on "our" own machine, that I'll still happily dig out and play today, being a bedrock of my gaming psyche?
Xenon, on the ST. It was the disk that the previous owners demoed it to us with, and one of our most played titles. It's still a reasonably solid vertical scroller, fun and endearingly wierd, and makes good use of the machine's capabilities.
Second disk we slipped in the drive after returning home would have been a twin-pack of Buggy Boy and the old unshaded/hidden vertice removal vector-based Star Wars arcade shooter. Also classics. After that, Speedball? (...and then the BASIC disk and a baffling CPM emulator

)
We got pretty lucky with those four, given how much sheer crap was actually released around that time I've since had to wade through to find any more gems.
Nope, no Mario, or Tetris, or Space Invaders, or Jet Set Willy, or Oregon Trail or anything like that. Unforgivable I know.
Hell, didn't play Space Invaders for the first time until maybe a year after we got that machine and a clone was on a magazine cover disk.