I believe it was Super Mario Bros. on the NES.
My first game machine was a Pong machine. It was red and took D batteries, which I can't seem to find listed here in the database. I need to pull that thing out of the attic. I also had this: http://www.giantbomb.com/odyssey-2/60-60/ but I don't recall any cartridges for it. I think it had some very basic bowling game, so I wouldn't really count these at all since my comprehension of what was actually going on was limited. My first game would have to be River Raid for the 2600.
Wow.... I do not remember. I had a C64 (if you can call it a console) but i don't remember any games because i was pretty young. if we are talking purely consoles, then i had a mega-drive (because that's it's name !) and again, i don't remember what i had first, but i played a batman game and Comix Zone on it.
apperantly, i'm also fairly old now and can't remember shit.
Sonic the Hedgehog - I actually caught my mom wrapping up the Sega Genesis - she then told me she'd borrowed the box from my friends who had a Sega to put something else in - I believed her. I almost shat myself a few days later when the box contained a real Genesis. Pure bliss.