Has been a looong time since that and I can't remember which one was exactly the first but I remember a few games, all PC games.
Jill of the jungle. Fun platformer where you control Jill, who is more or less a woman version of Tarzan.
EGA Coloring book. A coloring game, nothing special about it but amused me.
Prince of persia. No much else to say about this one, everybody knows it. It was hard for my former self that I struggled to pass the first floor until I did it, the farthest I made it without cheats was floor 3 I think.
Commander Keen 4. PC gamers had nothing to envy about the NES, quite the contrary, I don't know if there is a game like this one on NES.
Wolfenstein 3D. I doubt this is the first game I played but is among the first 5 I think.
Jazz Jackrabbit. My favorite of my childhood and totally recommended.
Those I remember playing them with PC speaker (AKA no Sound blaster or anything), so it was before my dad got a sound card.
I also remember Battle chess but as I suck at chess I preferred watching rather than playing.