It is so hard to tell, the 4 games I really remember playing when i was like 5 or so was Doom, Wolfenstein 3D on the Macintosh, The 7th Guest and Myst. So it's hard for me to figure out which i played first. I was a 90's kid so I am excused from not playing Tetris or other older games first.
I really can't remember. It was either Super Mario Land 2 for the Gameboy (the original gray brick-like one), or Contra 3 for SNES. My memory of my early childhood isn't all too great, but I do remember I've been playing games since I was about 2 or 3.