My first was Nintendo Power... Tetris was my first issue, though I remember the Dragon Warrior supplement in far more detail. That's probably because I read it cover to cover no less than twenty times. I loved that game (and gaming guide!)
Looking back through the old NP issues, it's amazing to see how the sophisticated marketing angle was built into the mag... using pictures of "cool" looking kids about 4-6 years older than the target audience, using polls and rankings to shape gamer perception, and of course, Nintendo had final editorial say on every last word. Amazing to think how much power they had in the millions of subscriptions this mag sold.
Of course, recognizing this, I still retain fond memories of this magazine. There was nothing so exciting as receiving one of these in the mail. Especially around the cornerstone shift from the 8- to 16-bit SNES console. It seemed like the industry was just exploding, there was always so much new exciting news, and it was a rush to get the new issue and feel like I was on "the edge" of it all.