PC: Well it was Mac OS 9, but my first computer game and video game period was Lemmings. I think my interest in retro gaming likely came from the fact that Lemmings was the first game I played even though it came out in 1991 and I was born in 1996. I'm pretty sure I played it for the first time when I was about 5 or so which means it would of already been 10 years old by then. I still love Lemmings a lot. It's unique, it's clever and it's so satisfying to come up with puzzle solutions in. I love how most levels have multiple solutions and if you experiment around with what abilities you have and use them in a less direct way than the level is seeming guiding you into you can often end up saving more Lemmings, and it feels good to come up with that kind of superior solution yourself. So much content as well, 120 levels is huge for a '91 game and even modern puzzle games rarely have that amount of longevity, especially if you account for the potential replay value of trying to save 100% on as many levels as possible
Handheld: My first handheld was a GBA SP and with it I got Super Mario Bros 3. Weird confession: I've never beaten Mario 3 for some reason. I like it, I think it's a great game, but part of me always found the original 2D Mario games a bit vanilla (I mean of course they are because they basically invented the genre as we know it now) and I don't really feel compelled to revisit many of them other than Mario World or sometimes Mario 2 USA. Regardless, I loved it as a kid, I think it was a great introduction to Nintendo and the kind of fun and great game design that nearly all of their games embody. I feel like I have the least to say about Mario 3 despite what an important game it was both in terms of gaming history and my own personal gaming background, but at the same time I don't think much needs to be said as we all know why it's a good game.
Console: My first console was a PS2 and my first game for it was Sonic Heroes. If you've talked to me in the Discord server you know that I often mention how much I love Heroes despite how flawed it was, but I don't have much nostalgia for the PS2 version at all. I found it extremely hard as a kid, I couldn't get past Power Plant as anyone other than Team Rose because of the rising lava sequence and even back then without anything to compare it to I knew there was something off about the PS2 version (the awkwardly long load time for the results screen being the most defining thing for me as a kid). It wasn't until I got my Gamecube and after playing the Adventure games endlessly on that and loving them I repurchased the Gamecube version and was stunned by how night and day the comparison was, suddenly it felt like I was actually playing SA3.
SEGA/Sonic: My first Sonic game, not counting fan stuff like Ultimate Flash Sonic, was Sonic Advance 3. Do I like Advance 3 now? Not really. I tried it again earlier this year and the combination of the Chao collecting, poor field of view and the confusing level layout where everything looks the same turned me off almost immediately, and I wasn't keen on doing a playthrough where I didn't get the emeralds. Back then though? God, I ADORED Advance 3. The jump in quality from barely functional and laggy fan games to an official Sonic game was huge, and I absolutely loved everything from the sense of speed, to the character variety to the look and sound of the game. Of course I wasn't going for the emeralds back then and with pretty much all of the Dimps games bar Rush (because hey the bonus stages in that one are actually fun for once) I feel that ignoring them is the better way to play the game, not like you can even use Super Sonic in the main levels like in Mega Drive Sonic.
For my first SEGA game on an actual SEGA console, my first SEGA console was, probably not surprising anyone here, a Master System. In 2010. Welcome to my life. I bought it online and it had Alex Kidd in Miracle World built in, so I think that was the one I played first, but it also came with Sonic the Hedgehog 2, Castle of Illusion, Wonder Boy, Wonder Boy III: The Dragon's Trap, Spider Man and Trivial Pursuit. I really like most of those games. Spider Man was pretty bad and I never really touched Trivial Pursuit but the rest range from good to fantastic, the Wonder Boy games and Castle of Illusion still remain some of my favourite games on the console to this day.