I started GoG during an Interplay sale and got MDK2, Freespace 2, and Fallout 1 + 2.
I have completed none of them. Of the 80 games I have purchased on GOG, I have only completed Phantasmagoria.

Original War. Played the american camapign (last mission was tough!), started the russian campaign but about three missions in, my comp blew up and some parts needed replacement and a reinstall of the OS. When I reinstalled Windows, I didn't reintsall the game (had a whole bunch of new ones).
I should go back to it sometime in the future, since I really liked that game and even though I played some of the missions many times before playing the next, I never felt like any of the missions were a frustrating experience.

Lionheart (yes, you read that right), as a free game from PC Powerplay magazine.

Fallout 1 and 2, but I beat them even before I got 'em from GoG, I just wanted to have versions where I didn't have to sweat much about compatibility or my iffy original CD's.
The real reason I joined GoG was to get Master of Magic, sort of on a "If I watch these guys long enough, *SURELY* they'll get that one," approach. Sure enough, it worked.

Might and Magic 6-pack
Haven't played through them all, and I haven't finished any since I bought it here.
Actually I found the site, looking for some place I could get a copy of at least the first Might and Magic legally as I had the notion that I wanted to play the series beginning to end, and I'd get the second somewhere when I'm done the first. (The only part of the series I can actually find in my house on disc is Heroes of Might and Magic III) And gog took care of the first 6, well the first 5 and the 8th, I'm going to play get HoMM and HoMM 2 to play between 5 and 6.

My first GOGs were Earthworm Jim 1 & 2: The Whole Can of Worms and Duke Nukem 3D. I've beaten both. Joining I hoped for Blood (released!) and System Shock (hopefully!) and I'm picking up a lot of overlooked ones on the way, as well as ones I love (Descent).

Giants + Original War (there was a deal at the very beginning of GoG). While I haven't completed Giants yet, I've played the shit out of OW.

My first purchased game was Fallout 2, and I chose Conquest of the New World as the free Interplay game.
I've played F2 through (numerous times), and while I can't say I've actually completed CotNW, I've played a lot of time with it (and plan to play even more).

My first GOG games were Sacred Gold and The Guild Gold.
I played the main campaign of Sacred to the end but then stopped playing the expansion because it was getting boring somehow. The Guild i played quite a lot and then abandoned it when my empire grew really big and the crashes became more... ;)

My first purchase was Fallout, followed by Fallout 2 and Tactics. If it wasn't for Fallout trilogy being sold here, NMA would never talk about GOG.com, and I would never find this site. : (
I'm glad this didn't happened. : )

Ishar Trilogy and I haven't played it through yet,

Duke Nukem 3D. Haven't finished the last episode yet.

Hey, Orryyrro, does the M&M 6-pack come with a scan of the manuals? I have M&M 2, and, from what I remember, the spell quick reference was on the back of the manual. An additional form of copy protection in addition to the fact that Disk 1 had to be in A: of your PC.
The spells were were paired combinations of numbers, like to cast Earthquake was number key 6, then number key 2 (so 6-2 or something like that).
[Hint]
Oh, and don't attack Bozork the Ork, he has 255 orkish minions. That battle took an hour. I fell asleep at some point. Perhaps I wasn't supposed to attack him?
First purchase was UFO: Aftermath, and I'm about 50% through. Would have been further, but the game had missed me picking up a critical piece of gear. Had to start over - brought my party with me, though. Wasn't going to completely start over because the game was bugged.
Edit: Getting on topic.

Yes, they come with the manuals, the hint books and the world map. And the list of the copy protection passwords hard-coded into 3 and World of Xeen is in the documents folder of the games'(on the start-menu, or on the games' install file), not in the manuals themselves.

Originally, I was going to get all three Gabriel Knight titles, but I thought I'd test the GoG waters first with another title:
Vampire: The Masquerade - Redemption. Played it a bit, went on to some other games, then played it like a madman once I got back to it. Great game.
Needless to say, GoG is awesome and so I picked up the GK series afterward.