Sega Master System 2, With Alex the Kidd in Miracle World built in! Oh so exciting, I think the theme music from that game almost destroyed my mind, as well as my parents...
That was my first console, too. Actually, my family did have some old console before that with generic games like Pong and Shooting Gallery, but I have no idea what it was. I just consider the Master System my first console because it was the first one that I got for my own, as a Christmas present.
I love the Alex Kidd theme music. I always think of it whenever I play Rock-Paper-Scissors, cos you had to defeat the bosses in that game by playing Rock-Paper-Scissors.