Burger Time on Atari 2600 was the first game I ever played.
Heres a full breakdown of the first game I played on each system I have played. I left certain ones out, though, such as Virtual Boy (That thing hurt my eyes so much).
Atari 2600: Burger Time.
NES: Super Mario Brothers/Duckhunt combo
Gameboy: A Kirby game
SNES: Kirby Superstar
Nintendo 64: The Legend of Zelda: Ocarina of Time
Gameboy Advance: Golden Sun
Gamecube: Resident Evil 4
Nintendo DS: Super Mario 64 DS
Genesis: Sonic The Hedgehog
Game Gear: Sonic The Hedehog
Saturn: Mortal Kombat Trilogy
Dreamcast: Marvel Vs. Capcom
Playstation: Soul Blade
Playstation 2: Final Fantasy X
PSP: Bleach: Heat The Soul
Xbox: Halo
Xbox 360: Need For Speed: Most Wanted
I am not really sure what I will play on PS3 first, but, whatever it is, it should be fun, I know that.