Ah, damn, it's been so long; about 9-12 years ago?
My first was Super Mario World.

My first large release was Portal 2. (The crackers made a spelling mistake and the installer said Postal 2 instead of Portal 2. It took me 4 years to find out Postal 2 was a thing. I am proud to own it AND Portal 2 legally.)
Some recent ones (which were used to test the quality of my PC, I later acquired it via Steam Family Sharing, bought it on another console, or have not bought it yet) include:
Fallout 4 (No computer I own can run it.), Grand Theft Auto V (used pirated copy and performance mods for low end PCs. later got it via Steam Family Sharing and a good friend.), and Metal Gear Solid V - The Phantom Pain (Bought the XBOX 360 version.).