My first ever purchase on GOG.com was Serious Sam:The Second Encounter.I wanted to play a co op game with my cousin and this game seemed like the perfect one
First game I see is Warsow, but it was free. I think the first game I really bought in my library is The Witcher 2: Assassins of Kings Enhanced Edition.
I can't recall if the first two items (Teen Agent and Beneath a Steel Sky) were given out when GOG launched. Educated guess is Blood is the first purchased title in my collection