Well Warband isn't the first game I bought by far. It's one of the first games I bought online, which is what Latvian asked for some reason.
Yeah, I ignored him, but if I must be restricted to online only, then it must have been Tanarus. It was originally the testbed for the Everquest engine, and was the basis for what became Planetside 1. Awesome arena game with 4 teams of 5 tanks all trying to steal each others flags from their bases and cap it in your own, though only really good teams were able to pull that off. The not so good teams just went at a 5v5v5v5 team deathmatch, but a flag pulling team would win handily because it was so difficult and worth so much (when you lose your flag, all tanks at the team die and respawn at their base and all players on the pulling team got 5 kills a piece).
I'm really sad that it was shutdown in 2010. Some buddies who were veterans of that game always talk about coding a clone with a modern FPS engine...sadly just talk