I forgot about the bath bubbler, I had that too! (YES! I know I'm the sixth person to say that...)
Okay, before I get into this, let me just say that unless you want to count educational games like Busytown and the like, my first GAME was Sonic 3. It was the pack-in and my parents bought Marsupalami, and my attention went straight to the awesome cover art of Sonic 3. The rest.... is history!
So..
First game - Sonic 3 (see above)
First game beat - Sonic and Knuckles (my parents had to call in to figure out Carnival Night Zone... I beat the game without ever knowing that the above-ground area was more than a boss, I can't tell you how excited I was to find out otherwise as Sonic)
Most Wins - Sonic 3 and Knuckles (at times, I'd pick it up in the morning and have it beat by the afternoon... because any time we played Sonic 3 vanilla the saved games were lost, I had to do this often.)