The first game I remember playing for long periods of time was Commander Keen too

Except I started on Goodbye Galaxy, and it took me until I was old enough to go searching online for old games to find the earlier episodes.
Gorillas and Nibbles, which had to be run from within QBasic, were also family favorites when I was very little. Nibbles was the first Snake-style game I ever played.
Before my dad's IBM 386 was anything other than a work machine, we had a Commodore 64 and a TI-99/4A (yes I had to wiki that, I just knew it as the computer with the game cartridges), upon which we played such classics as JumpMan, Burgertime, and Buck Rogers: Planet of Zoom.
Who's going to come in and say the first game they played was pong...