I get the feeling this thread will be rampant with SF2 answers :) It's the same for me. However, first game I really tried to understand was Alpha 2. First game to actually know what the hell I was talking about though was SC2.
To this day I'm not very good at any of them, SC4 included :P
The first fighting game I played seriously was either CVSNK2 or SC2, although I was absolutely abysmal at both games.
Edit: Actually, I think it actually as SF2. I just remembered having to use that horrible little genesis controller, and being forced to stick to either punches or kicks.