It was either Mario Bros., Duck Hunt or Contra. From what I remember we already had all three by the time I started playing the NES. If I had to guess I'd say Duck Hunt though.
This was actually my very first FPS. I don't remember my first video game in general. I hardly remember anything I had on my PS1. The most memorable thing I had though was some Kirby game on an old Nintendo console, can't remember which one though.
It was either Pokemon Red or Ocarina of Time, and I have no clue which one I played first as I got them and the consoles that ran them at roughly the same time, with only a few months difference. One day I have to ask my parents which one I got first, as they'd probably remember better than I do....
If I don't count the http://handheld.remakes.org/online/donkeykongii.htm, I think it was either http://en.wikipedia.org/wiki/Wizball or http://en.wikipedia.org/wiki/Giana_Sisters.
I suppose technically my video game was oregon trail back in elementary school... but first game to turn me into a gamer... it was either SimCopter or Need for Speed: High Stakes