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I remember my dad owning a Pong clone connect-to-TV thing when I was very little. That's the very first video game I played. The next one I can recall was Asteroids on some sort of Texas Instruments console (I think) at someone else's house. Third one (that I can remember) was the handheld Donkey Kong game.
The first game I can remember playing is Super Mario Brothers for the NES, but I suppose it might not have been the first. I didn't exactly have a lot of patience back then. I never made it to the final castle. I always got stuck somewhere on 8-2 or 8-3.