Some earlier ones I know about are Micro Machines 2, Shadows of Cairn, Alone in the Dark, Monkey Island and Heroes of Might and Magic, but what are the first ones?

Edit:
Golden Immortal (1991)
Sherlock Holmes: Consulting Detective (1991)
Inca (1992)
Loom (1992)
King's Quest VI (1992)
7th Guest (1993)
Return to Zork (1993)
Myst? (1993)

Operation Body Count (FPS based on the Wolfenstein 3D engine) had it, just tested, but that's as late as 1994.

There's no cd audio on XF5700 Mantis (1992) nor Protostar (1993)

I would bet my money on some obscure game from 1991.

EDIT: It may possibly be Golden Immortal (1991) This page says that it had "over 60 minutes of CD quality sound."

https://www.youtube.com/watch?v=4QCbGpxNxDo

Cool, Golden Immortal sounds pretty legit to me although not that well produced for a CD soundtrack (seems to be in mono for example). It's not on mobygames so I can't confirm 100% without downloading and looking into it I suppose.

Did Myst have it? It's from 1993.

Edit:
There's also Sherlock Holmes: Consulting Detective (1991)
https://www.youtube.com/watch?v=Fh2clLt9YFQ

Judging by the quality of the music in Myst I'm pretty sure that it was included in low quality WAV files. And fun fact: the first game for home computers to be released on CD-ROM was actually The Manhole for Macintosh computers, also by Cyan Worlds. I think its first CD-ROM edition for PCs came out only after Myst.

Anyway, seems KasperHviid is right with Golden Immortal. I didn't even know about any PC CD-ROM games (excluding the Manhole) to be released as early as 1991.

But there's no musc in that one except for a short sample-based jingle in-game?

I have an artsy CD ROM with audio tracks from 1994. I really dig its title!

7th Guest
Road Warrior (Quarantine 2)
Return to Zork

were my firsts, and I still have them!

always skip track 1!

But could track one actually damage the loudspeaker?

The first wave of PC CD-ROM games didn't use CD-audio that much (e.g., The 7th Guest still uses MIDI files for music), it became common much later. However, I see on mobygames that Loom had a CD version released in 1992. I don't think you'll find many non-obscure games with CD-audio before that.

If you're going to count non-PC computer platforms, I suspect the earliest example might be some obscure Japanese game released for the FM Towns, a computer with a CD-ROM drive released (according to Wikipedia) in 1989.

I wasn't going to, but if you have some links to those then you can post them here.

Well, it really depends on the version, it seems. I can't find footage that is definitely from the CD-ROM version from 1989 so I'm really not sure. The Masterpiece Edition did have almost continous low quality audio music but that one was admittedly released quite a few years later.

Curiously, both of my copies of Myst (copyright 1993, 1994, 1995) for the Macintosh has the CDDA branding -indicating redbook CD audio- but I can't find any audio tracks on them. Nor can I mount them in my main Linux box (and I can't be bothered booting up the iMac G3).

The earliest one I can remember was Inca.

Heh, didn't even notice that games had that branding. Will have to take a look at some of my older game CD-ROMs (well, actually all of them are old, obviously). But yeah, also no version of Myst I've played ever had any high quality audio in-game that would indicate the use of audio tracks, it always had this low quality WAV sound. I guess it was just unnecessary branding, maybe by mistake or just to be safe.