Too lazy to quote everyone:
Sam & Max Hit the Road - Don't chu try n tell me 'bout Sam'n Max! I played that shit when it first came out! (Really) Without sound! (Also really) But when I said "musical" I meant in the actual sense of a theatrical musical. Which also goes to whoever suggested other games. I mean... the first game to have an original song? As the OCRemix controversy over Space Invaders shows, the definition of a "song" can actually be pretty tricky.
The song I linked to was obviously done in the style of a stage musical, and when I said that this was the first game to do that I meant it in that context.
Bubsy - Oh my god, I loved this game. There were a couple of things on the box that had the character speaking about his own game, but one of the only in-game things I remember was during the introduction to the final level, where he says, "Whoa, you're still playing this thing?"
Manhole was the first game to use the CDROM media.
I agree about Samus... I don't think there's ever a love interest of any kind mentioned. This means she's not dependent upon a male to define her.
I believe Dragon's Lair was the first game to be released on Laserdisc and one of three in total, the other two being Space Ace and Dragon's Lair II.
I think Arc the Lad was the first Playstation game to use FMV.
And I think Toonstruck was the first game to combine live action and animation, Roger Rabbit style.