I'm not sure my first game. We had some pacman games and rip offs (I had a really awesome pac-man I wish I could find that has enemies other that ghosts. It has spiders on the 1st stage, sharks on the 2nd, and ghosts on the 3rd. Never got past that stage as a kid. Pac-man had different death animations for each one too, the shark would come out of the water and grab pac-man. There was blood and everything. I miss that game)
We also had an old star trek game based I think on the next generation series. (you pressed 'p' for phasors and 't' for photon torpedos. I remember thinking the stardocks looked nothing like deep space nine) Or maybe it wasn't... now that I think about it I think you fought klingons, which would make it original series. you could shoot photon torpedoes into stars to set certain quadrents supernova.
Lastly, we had this gorilla game (that many people apparently played) where you throw exploding bananas an each other.
I wish I could say Scorched Earth and Commander Keen were my first games, but I know for a fact I got them from my neighbor, unlike the other games that "came with the computer" from my uncle (it had the "new" windows 3.1 on it and a 16MB hard drive. It kicked a lot of butt) I remember playing all of them about the same time though. There was another game "cosmo" I played a lot too. And "moria" which was really hard.