I don’t know what my first was - but I loved CYOA. Later I found the D&D books and read as many as I could. Eventually I found books where you played the character and did battles. Actually kept track of stats and rolled dice.
My favorite book like this was Space Assassin by Steve Jackson Games. There is a mad scientist orbiting your planet with a diabolical plan to kill or mutate everyone on the planet. You sneak aboard with the mission to take him out before he dooms your world.
