I had a 480p/1080i CRT way back, so GT4 in 1080i mode was my first. It's kind of hard to call that HD, though, since it was really running at 640 x 540 which is only a slight improvement over the regular 640 x 480. However, the interlacing did trick you into seeing more horizontal resolution.
The first true HDTV experience I had was with Gears of War. A friend of mine had an 360, and I had that HDTV CRT (didn't know anyone else with an HDTV at the time), and I bought Gears of War so that he'd bring over his 360 to play it on my TV. It looked pretty good.
Although I wasn't so much impressed with the resolution as the polygons/effects. I'd been playing PC games at high resolution for years. My mind had already been blown by Quake 3 by this point.