As stated in a previous post, Dungeons and Dragons was given to me, so does not count as first RPG purchased in my book.
That brings up the grand possibility that the first one actually purchased was, again, James Bond 007!
Yes, the first game I game mastered was the first game I actually purchased. Up until that point, I was merely a player.
I must have enjoyed it immensely, as I seldom play, most of my RPG experience from the time this game was purchased has been 'behind the screen.'
It needs to be said, at this point in history, the early 1980's, the Cold War was very real. With my father being in the military at the time, we were painfully aware that if missiles were launched, we were a target.
This may have something to do with all of the kids on the military bases being huge James Bond fans. We watched the movies, he was a hero to us the same as John Wayne.
We understood the need for people like James Bond in our reality, they kept the bad guys at bay. But it was not some kind of Rambo kill them all setup. Spies were classy, and smart, not to mention they had toys that made even Batman jealous.
In my mind, there has probably never been a more real RPG than the Victory Games James Bond 007.