Well, as far as games that would be rated mature, Mortal Kombat was probably one of the first. Also Time Killers. But whatever it was, I'm sure it was some arcade game that ramped up the gore. That said, I think there's a misnomer. See, people always say those games are mature... but the "Mature" label is actually saying that the game is intended for a Mature audience that won't be overly affected by the juvenile/offensive/sexual/violent content within it.
I can probably list the games I've played that showed actual maturity while counting on one hand.
But I won't try, because to do so I'm sure I would start an argument with someone who felt that I left out their favorite game that they think is SO mature, when in reality it's a juvenile power fantasy full of explosions and boobs. Hey, I'm an American Man here, Explosions and Boobs are great. But they're not proof of maturity.
That said, I just got through Planescape: Torment for the first time, and I have to say I'm rather impressed with the game's themes of suffering, regret, and consequence. Anyone who hasn't tried it, and who's looking for a mature experience (albeit one wrapped in archaic AD&D Pen and Paper rules and an old graphical skin) should consider it.