Same. We already had a ZX81, an original rubber keyboard Spectrum, a Spectrum +2 and boxes full of tapes in the house at the time of my earliest memories (also some kind of IBM compatible PC that only had one game which was way too difficult for me at the time).It's hard to say because my dad was a gamer so most of my early games belonged to him!
The first console and game which were properly mine though would be a NES and Ironsword: Wizards & Warriors II. If I recall correctly, the game came out of the bargain bin in the shop where we bought the NES. It would be the first of many games to keep me up all night, mainly because it felt like a very long game without any kind of save function. I don't remember ever actually finishing it (in fact I'm not sure I ever finished a single NES game) but I can certainly recall the entire soundtrack. I passed the NES and its games on to my sister when I replaced it with an Amiga 600 a few years later because you couldn't play LucasArts point and click games on a console, and my ultimate fate as a member of the PC master race was sealed.
What a depressingly nostalgic thread. It's made me remember the sound of Spectrum tapes loading, Teesside in the early '90s and all the houses I lived in as a child in fairly clear detail. Isn't it, wasn't it? Ford Escorts? Four television channels? Woolworths? Small boys in the park, jumpers for goalposts? Smashing the cartridge for The Adventures of Rad Gravity because it was so frustratingly hard?