Oh man there's some good games in here.
Excluding consoles (atari, intellivision)
My first PC was a commy 64 and my first program was Fast Hack 'em which prompted the borrowing of multiple games.
So i would have to say the first one was probably Jumpman Jr but the first one i really remember loving was Bards Tale (not to discount Zork and others)
Some great mentions in this thread, shadow of the beast, Dune, Master of Magic, eye of the beholder and one of my all time favs Deus Ex.
Nice to see other old folk in here as well 
j