The first game on my Amiga was Wing Commander... It was what my uncle bought me with my Amiga, I didn't pick it. Despite being technically poop, I enjoyed it. Along with it came a few coverdisks, which sometimes I enjoyed more than wing Commander.
On the PC, I think the first games we loaded were Tetris for the Gameboy emulator, and Dragon Ball Z for the Genesis emulator :P No PC games. No! hold on! we bought MDK with the computer. I thought it was enjoyable. Yes, that was my first PC game.