My first console was a PC. I spent my time playing lots of strategy games (Civilizations, Age of Mythology, Moonbase Commander, Master of Orion 2, etc.) and lots of games like Simcity and Locomotive or Locomotion, one of the two. Yup, that was ridiculously fun. Next I got my hands on a GameBoy Advance and Pokemon Emerald - my friend gave them to me for free. I don't have the Advance or the PC anymore, but I still have most the games and I've gathered a few hundred hours on Pokemon Emerald.
I said about 2 because my PC was the first thing that I owned that would play video games (unless you can't black-and-grey Nokia brick games :P) and the GameBoy was the first thing you could count as a console. Both were fun - but I'd already played a lot of video games before on my dad's computers when I was 2 - 3 years old.
I don't know if you would consider this a 'console' but when I was little, I had a gameboy color (that thing is a dinosaur) I don't still have it, but I still have a lot of the games though. I remember one game... I think it was a tonka game (which I still have, and sometimes play just for goodtimes). And I loved it, I played it over, and over, and over again. I also remember having a racing game, I loved that too (I also still have that) Then, my grandma gave us all gamboy advances for christmas. I remember playing erm... what was it called I think it was some Mario games. And I have LOADS of memories trying to beat that monster. I never did. I still have that game, and sometimes I STILL try to beat it. When I was seven, my mom and dad gave my big brother a PS2. Which was our first REAL console. Our first game for that was Need for Speed. Damn I loved that game. But the game that I really loved on the PS2 was Star Wars Battlefront. I loved that game, of course I still have both my PS2 and NFS, and STB. I still play all of them for old times sake.
Sega Genesis and Sonic the Hedgehog 2, I still have them and still occasionally play them. I do have a GameBoy Color, but that was some years after the Genesis.
Atari 2600 It came with a bunch of games so I would say they were all my first game, I don't remember which one I played first probably cops and robbers or submarine. I still have it.
I had a nintendo 64 (i think thats it) but i never played on that (i was only like 5) The first game i played on was the lord of the rings the two towers on the ps2. But we gave away all the games and the ps2 to my cousins which is kinda sad we had some awsome games on there.
First one I played on was the SNES. It was my older brothers', and I would play the original F-Zero against them. And lose, badly. I pwned them on Mario Kart though - I was the Feather Ninja.
The first console I bought was the GBA SP- it came with LOZ: The Minish Cap and I bought F-Zero: Maximum Velocity for it. I just bought my last game for it - Final Fantasy VI. Superb so far, but I don't know if it'll be as good as IV.
My first TV based console I bought was a Xbox 360 - two weeks ago. I got it with Final Fantasy XIII.