First RPG I ever played was Dungeons and Dragons, Red Box edition back in 79.
Oh, did you mean computer game? You didn't specify ;p
That would be ... Hmmm... probably Dungeon for the Atari 2600. There were a couple on the Atari 800 (I even wrote a small one), Zork and few other text parsers, then there was Wizardry for the Apple II. That would be the first "stat based" cRPG I played. Incredible - I've got a DosBox copy loaded up on my old Laptop along with some other 'old-skool' RPG's I still kick back with. After those, you can pretty much go down the list - Might and Magic, Ultima, Final Fantasy, Secret of Mana, Wild Arms, Breath of Fire, Dragon Warrior (these are just the ones I remember - I played a lot of ones that flat out sucked, too).
Most recent one would be Skyrim - finally picked that up. The best I've played in the last few years would be The World Ends With You for the Nintendo DS (that handheld kept me happy without buying a PS3 or PS4 - so many great RPG's released for that little guy).