You mean for first time or in general?
I don't remember finishing anything straight from starting to play, except arcade games on emulator (where you effectively have infinite coins=lives/continues).
On the other hand there are some games I have played on one sitting - some of us are old enough to remember time when there rarely was a choice to that...
I've rarely done it when there is a choice. Most notable examples are my old favorites Wing Commander and Monkey Island. On some driving games (Fatal Racing) the major series mode only takes hour and a half, so that kind of thing I've played numerous times. Master System Asterix is one old platformer you have to do at once, no save available.