No, I can't think of a single example where the first game I played is my favorite, because I think it's safe to assume most secuels improve upon the original. But, if you play several games in a series, surely is because that first one had something special.
These is my opinion:
Fire Emblem: First was FE7, favorite is Radiant Dawn
Castlevania: First was Super Castlevania IV, favorite is Order of Ecclesia. But, if we separe classic and metroidvanias, IV might still be my favorite.
Zelda: First was A Link to the Past, favorite is Majora's Mask
Metroid: First was Fusion, favorite is Dread
Mario: First was Super Mario Bros, my favorite is SMB 3
Paper Mario: First was the 64 original, favorite is Thousand-Year Door
F-Zero: X was the first, GX is my favorite