The first eroge I played was Xchange. The gender-bender plot twist interested me and held my interest until the end. I forgot which ending I got, this was many years ago. After that all I played were flash based erotic games until I played Bazooka Cafe. I really enjoyed Bazooka Cafe. The characters seemed more fleshed out and real than other hentai games I had played.
I believe I started with Fate/Stay Night, but then gave up after 15 hours and moved on to Katawa Shoujo. Finished that, and returned to F/SN with renewed vigor, before finishing it.
My first eroge was Corruption of Champions if you count that, otherwise, it was either Sexy Demon Transformation, Discipline: Records of a Crusade, Bible Black, or Cat Girl Alliance.
As for Visual Novel, Katawa Shoujo was my first non-eroge Visual Novel.
Phoenix wright or bible black was probably my first. Never been a big VN player but I'm going to get into it now after playing Sengoku Rance over the holidays. Getting started on G senjou no maou.
My first VN was bible black,the story was a little to dark for my taste seeing how I love vanilla but I was just learning about porn and stuff like that and I thought that was the only game with that kind of playstyle. Isn't that hilarious? right now I'm playing katawa shoujo and snow sakura.