My first (and second, third, fourth... you looked at them funny and the shits broke!) was a famiclone (here known as "Family Game").
First game? Can't recall.
Mario has pretty high possibilities, but I was 3-4 at the time, so if I said I was sure I would be lying.
Having a pirate console with pirate carts actually had a bright side to it - without it I would've never gotten to play the best racing game the NES ever got:
http://www.youtube.com/watch?v=IunQUk6jW50
Along with nifty things like the undoubtedly superior (unlicensed) Tetris, and some japanese-only games like the Battle City and B-Wings. Oh how I love thee.