Another obvious choice for the historical value is the very first episode of the very first game show that aired on TV. I don't have my EOTVGS within reach to name the show specifically, but I'm sure someone can fill in the blank.
Wikipedia says it's Truth or Consequences, which aired as a one-time experiment in 1941. That sounds right to me.
I thought it was earlier than that, maybe 1939. I want to say it was either "CBS Television Quiz" or "Uncle Jim's Question Bee".
CBS Television Quiz aired from 1941-42, debuting the day after the experimental
Truth or Consequences (and the experimental
Uncle Jim's Question Bee, which remained a radio series otherwise). As far as I can tell, the first televised game show was the United Kingdom's
Spelling Bee, which debuted May 31, 1938.
Dotto has an episode on the trade circuit and Supermarket Sweep has one extant episode as well, although less accessible since it's at Paley.
Dotto has two episodes circulating -- a daytime show with Marie Wynn, and a nighttime one with Connie Hines. As for
Sweep, there's a partial episode available for viewing online, but it's only the open and close despite the listing claiming it's complete.
Obgameshow (if I may give another one): The premiere of
The Money Maze, supposedly the only time both of the day's couples won $10,000.