In some ways, though, there are two first RPGs I played.
Technically, the Moldvay Basic Dungeons & Dragons game came first. Even in sixth grade, I had a lot of male friends, and one of them invited me over to one of his friends' garage (he wasn't allowed to have guests inside the house) to try this game out. The Dungeon Master, however, had no clue what he was doing. We rolled up some characters, which was promising. Then he pulled out Keep on the Borderlands and laid the map of the keep out in front of us. Yes, I mean the keep, not the caves. We picked the room we were going to and he rolled up monsters and treasure. And, it's not like he was willing to facilitate any kind of interactive anything. All options other than "enter room, fight monster, collect treasure" were waved off. It was like Dungeon! without the competition, cool cards, and game board. Thinking this was what RPGs were all about, I decided the whole thing was a waste of time.
Some time later, my brother picked up Villains and Vigilantes. Even making characters was all kinds of awesome and, without the filter of that helpful Dungeon Master, we quickly realized that you were supposed to actually, you know, role play, in a role-playing game. That not only sold me on V&V, but got me wondering if maybe there was more to D&D than I had been told.
So I guess "first" depends on whether you define that D&D experience as really playing Dungeons & Dragons or just Dumbass Homebrew Slugfest.