I can't remember the first game that I played on xbox or playstation exactly, but it had to be something like Fuzion Frenzy, Brute Force, or Halo: CE on the Xbox. I definitely know that the first game that I ever played on playstation was the first Ratchet and Clank.
Ninja gaiden black to xbox was the first game i played. Hard game to beat but thats a challange of it, love it.
playstation soul edge xbox star wars knights of the old republic ghost recon island thunder and Rainbowsix but was gaming years before that remember games like pong space invaders pac man etc