My first games on Amiga were Lotus 2 and Silk Worm. I don't remember which one is the first I loaded
On PC however, my first game was Need for Speed 3. The shop that sold me the PC used the game to test that newly released Riva TNT card and they forgot the disc in the drive.
Of course I returned it.
Intentionally, I was playing sega master system games with the emulator "massage".