For certain my first Sonic game was Sonic Advance for the GBA. Not entirely sure how that came about or got into the Sonic franchise. Though, I've not really followed any of the more recent Sonic games (well, since like 2010).
I think the first Sonic game I saw someone play was SA2, and I played Sonic Heroes and Shadow the hedgehog myself later on. I wasn't good at Sonic heroes, but I did 100% Shadow the hedgehog. I remember enjoying it alot actually, but I'm sure not going to go back and refresh my memory after all I hear about the game now!!
Later on, I borrowed Sonic Adventure 1 from one of my nephews for the gamecube, and I was honestly blown away, I was immediately taken aback by the hub world, since when I saw SA2 it didn't have one at all. I was like "Oh shit, so it's like Mario 64??" and I really liked it, I wish that it was my first sonic game.
Mario: Super Mario World on SNES was the first I played, but SMB2 on NES was the first I had exposure to.
Sonic: Sonic 1 was the first one I played on Sega Genesis. We had all the Sonic games made for it except the Dr. Robotnik puzzle knockoff, but since the system was in my brother's room I couldn't play Sonic much. Never got past Marble Zone 1 until years later when I emulated it.
I played Mario more as a kid but loved Sonic to death.
Just look above you... If it's something that can be stopped, then just try to stop it!
Like a few others in this thread, my first Mario game was Super Mario World, straight on the SNES. Technically it was also my first video game ever, which is probably why I've become very sentimental over it.
My first Sonic game, on the other hand, was Sonic 2 on the Genesis. I specifically remember playing it up to Aquatic Ruin Zone for a brief time at someplace, since I know I never owned a Sega Genesis. The exact where and when is completely foggy in my head, so I guess that will remain a mystery indefinitely.
My first Mario game was Super Mario Bros. (That I played with an fake PlayStation called FunStation.)
My first Sonic game was Sonic the Hedgehog 2 (Genesis).
These are my favorite Mario Games:
1th place: Super Mario World and Super Mario World 2: Yoshi's Island (TIED)
2th place: Super Mario 64
3th place: Super Mario RPG (That took me into the world of Paper Mario and Mario & Luigi.)