Before I even knew what an RPG was, that would have been Pokemon Red. I friend of mine was an early adopter of this game well before it exploded in popularity in the US. I was the third person at my middle school to get it, and became totally obsessed with it. I ended up 100%ing, including getting Mew.
However, while not technically the first RPG I ever played, I always seem to think of FF7 as my first RPG, mostly because I knew what the genre was at that time and a neighbor at the time really inspired me to want to get into the genre. This was around 2000, and I remember blowing through FF7, FF8, and FF9 within the span of around a year and a half.