Ahh the memories from the title of this thread.... My first game console was the Nintendo Entertainment System. I definitely miss that little gray box with the flap, and blowing into it and the cartridge to get some games to operate properly. First video game I remember playing when i was a kid on the NES was the Super Mario Bros./Duck Hunt dual cart--freaking epic times on that with my sister and friends.
I definitely have more fond memories of my second console though, the SNES, but I think that's just because I was older and able to remember more stuff though.
First that I remember purchasing at the behest of my parents was definitely the original Game Boy Pocket. Red little guy I had to really beg for but it was totally worth it. Late night sessions of Street Fighter 2 and my mom screaming at me to turn my "damn game down" because I had the volume all the way up on Super Mario Land 2...priceless memories haha!