Well, if we don't count these real 'RPGs' then I easily have to say that Zelda: Link to the Past was my very first RPG game... but to be honest, that was more of an action-adventure game. Still, it was my first game ever so yeah.
As for a real RPG.. well, I suppose that Baldurs Gate would be it. I would say Final Fantasy 7, but it follows kind of a linear story path, just giving you sometimes time to either level or find some super secret materia.
But man, Baldurs Gate was awesome when you were 9-10 years old, especially since we Swedish people doesn't understand a lot of English when we're that old. XD Trust me, it was epic.
"Hail fair travelers!"
"EXPERIENCE POINTS AH KILL THE CIVILIAN!"
... yeah. ^^;
And I don't have to explain Baldurs Gate, since I believe most people here have played it, yes?
(also, NWN inspired to my username, thank you very much :D)