loading (from cassette!) and playing Adventure on a PET 4008. It was breathtaking! The first truly immersive gaming experience.
Wolf 3D on my first x86 machine. I hooked up the modem from my old Atari 400, and went looking for shareware. I had no idea what I was in for.
DOOM! I spent all bloody day trying to download the two shareware floppy images on the University campus, and a few hours tweaking the boot disk to get it running. Then the game started, and I played until I had to go to work the next morning.
Crying at the end of Grim Fandango. I play the game through every year or so, and my eyes still water up at the end.
Dark Age of Camelot - my first MMORPG. Hundreds of people in guilds and armies, organizing in real-time. It was fantastic. (until the script kiddies took over)