The first one we had was an NES for Christmas. My dad thought it would help improve my eye-hand coordination, but I think he also wanted a reason to get one.
The first one I ever bought was a Playstation 3, the 80 GB. My dad spoiled me and would buy me other consoles as I grew up (SNES, PSX, and PS2). Still have the Playstation 3, although the HDMI cord isn't working (still works with a standard cord), and we have a 160 GB because we thought the 80 GB wasn't working.