I can't remember the first since I pretty much started with Pong, but the last one that blew my mind was Gears. It was dramatically better-looking than anything else on the PS360. Before that, I was really stunned by the scale and occasional beauty of Oblivion.
I don't remember being overly impressed with anything on the NES, but here's a short list of games that I remember being impressed by in subsequent generations:
Out of This World (rotoscoping was the shit)
Donkey Kong Country (seriously, who wasn't impressed with that VHS tape NP sent out?)
Star Fox (I didn't play PC games at the time, so this was my first experience with 3D)
Virtua Fighter (the animation was amazing at the time)
Unreal (that intro flyby was mesmerizing)
Jumping Flash (I'm not sure why this is the early PS1 game that sticks out for me, but moving around the 3D environments was just amazingly fresh and unique at the time)
Super Mario 64 (who wasn't impressed?)
NFL2K (I already had an import Dreamcast but seeing NFL2K in motion convinced me to get an American system on day one)
Soul Calibur (those katas....damn)
Halo (people forget how much of a leap Halo was over anything on the PS2 at the time...great scale with a rock-solid frame rate and great detailed textures)
I'm sure I'm forgetting a lot of games, but I wanted to throw my list up before reading the rest of the thread.
EDIT: I completely forgot Metal Gear Solid 1/2 and Final Fantasy 7.