Technically, the first RPG I played was the original Final Fantasy for the NES. Though, I didn't really do much playing, just watching my older cousin play and occasionally pressing a button.
The first one I ever really played myself was Final Fantasy: Mystic Quest for the SNES. It's kinda looked at as the slow kid brother of the series, but it was actually a lot of fun, was well-written, and is a good introduction to the genre. It started a lifelong love of the genre, which continued on through Secret of Mana, Breath of Fire, and many others to follow.
The first one I made was actually a pen-&-paper fantasy RPG i played with my friends. There really wasn't any classes or spells (everyone had a unique magic talent like growing plants, becoming invisible or walking up walls), and stat math was kept to a minimum.