I was a late comer, and got the 2600, along with a bunch of games in a bundle from ebay (some of which quickly became favourites like 'Space Invaders', 'Asteroids', and 'Pacman' (yes, I actually enjoy THAT pacman), so my 'first' game is not really an interesting answer because it was just really a bit of a lucky dip. The first game that I individually and actively sought out though, would have been 'Missile Command', or possibly 'Joust'.