Well, I know it's not my first violent game (I'd been playing Mortal Kombat, Wolfenstein, Doom, etc. long before this) but the first game I remember ever really shocking me was a little point-and-click shareware adventure game for windows, I believe called "Dare to Dream."

I remember my character wandering through a sewer pipe and coming out on the other end to find a whole field filled with dead bodies impaled on pikes. I remember that really freaking me out.