I remember playing some shareware floppy disc games that I got to the ends of on my 486. But they were never the full games, so I don't think they counted. Probably the first game I got from the beginning to end of was Pokemon Blue on my Gameboy Pocket. First full game on the PC would've been Planescape: Torment, I think.
I used to watch my brothers play games more than I played them, myself, I think. Games like Diablo and Half-life would freak me out a bit too much until I was a little older.
Edit: Maybe F Zero X on the N64 could've been my first. I'm not sure. The past is all fuzzy.
Chrono Trigger had multiple endings? I might have to look that game up again.
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