I've heard that Candy Land is a child's first game, mostly from other gamer parents who couldn't keep the grandparents from buying it. Being colorblind, I've never liked Candy Land and, as a gamer, I dislike how it offers no choices unless someone decides to stack the deck, which I view as a valid choice.
But it has been pointed out to me that Candy Land not only teaches colors and counting but also teaches kids to take turns and that pawns can represent them on the board. And that if my son rips the board in half or shreds the cards, I won't care :P
However, what was really my son's first exposure to games has been Animal Upon Animal and My First Animal Tower from Fisher Price, both stacking games. I may someday find all of the animals from Animal Upon Animal :D
Matching games have also been a good success. He hasn't yet twigged to the idea that Mommy or Daddy should get a turn but he understands looking for matches. Still, understanding how to look for matches is a big step.
(We've also let him play with Cooties but just as a puzzle. We would never be so cruel as to ask him to follow those rules)
Honestly, identifying pictures and motor skills like stacking are basic building blocks for a toddlers understanding and relating to the world. It's only natural that those should be their starting games.