The Atari 2600 game usually considered to be the first was "Adventure" in 1979. There is some debate though that other games were developed and completed before this.
http://www.insert-disk.com/index.php/atari-2600/183-atari-2600-adventure
The standard answer tough will be "Pong" circa 1972 for the arcade version and 1975 for a home version (dedicated machine). There were no interchangable cartridges, it was more of a dedicated device.
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Pong was the first game developed by Atari, Inc.
Atari was introduced in 1952. The first game released was Tic-Tac-Toe.
The game was Pong and it was made by Atari. I had one.
1965
E.T. is definitely the worst Atari 2600 game (Worser then Pacman on Atari 2600).