RPG: Diablo II
Shooter: Wolfenstein 3D
Adventure: King's Quest (Can not remember which part)
Many of you selected Jump'n'Runs as your first Adventure Games. I'm not sure, if this is correct. (Of course you can do what ever you like.)
Wikipedia says:
An adventure game is a video game in which the player assumes the role of protagonist in an interactive story driven by exploration and puzzle-solving instead of physical challenge.
But in jump'n'run games i think the focus is on the "physical challenge". Please correct me if I'm wrong.