Conkers Bad Fur Day for the Nintendo 64, and it was awesome. Still IS awesome. So awesome it was ported in high definition to the original Xbox.
I played 'Turok' before that, but that wasn't actually rated Mature here.
There was plenty of gory shooters and horror games before that, but they were also before the time of the 'mature' label.
7th Guest, which made me cry for the invention of a strategy guide, as my four year old being simply couldn't finish that bloody maze under the mansion.
Doom 1 and 2, which as a four year old I actually found pretty crap.
And a few Sega Genesis games, most of which too obscure to remember the name of. None of which bore a 'mature' rating because such a thing didn't exist then.