The first one I played was Sonic 1, on my friend's Mega Drive some time in early 1992. Later I played Sonic 2, Sonic Spinball and the Game Gear version of Sonic 1. Another friend had Sonic 2 for the Master System, so I got to play that as well.
In December 1993 I got a Master System with Sonic 1 built in, so that was the first I actually owned, and a couple of months later I played Sonic Chaos on another friend's Master System. Christmas 1994 I had MS Sonic 2 and Chaos.
October-ish 1995 I bought that same copy of Sonic 1 that I'd played in 1992 of my friend for Â£5, ready for me to get my Mega Drive that Christmas (which came with Sonic 2). Some time in 1996 I rented Spinball. Late 1996 I got Sonic 3, early 1997 I got Sonic and Knuckles and Sonic 3D.
Christmas 1998 I got Sonic R with my Saturn. Mid 1999 I got the PC version of Sonic CD. Christmas 2000 I got my Dreamcast with SA. Exactly 3 years ago today I got Sonic Adventure 2 on launch day.
June 2002 I got my N64 so I had to pack away my Mega Drive (not enough room for more than 3 consoles plugged in at once), so I later got Sonic Jam off eBay so I wouldn't have to keep plugging my Mega Drive back in.
So that's my Sonic-game-playing history up to this point! :P