If you were to ask someone why this is, they might say it has to do with it's gameplay, re-playability, or music, all of which good answers.
However, if one was to over analyze the game, you could come up with brilliance in the first level.
For example, take this scene.

Fairly quickly, you learn quite a bit of information.
You learn that the character you control is mario, and that he moves to the right, as he comes from the left.
Doing so advances the game, scenery begins to move past you.
The next thing you see is some blocks, however before you can investigate them further you see something walking towards you, which is the wrong way.
It's also brown, a dull color compared to your character and the world.
The thing is moving you backward, and you might not like that
Jumping over the enemy and maybe squishing it, you hit a block, causing a mushroom to come out.
This is the same color as you and moves in the same direction as you, so you assume it is a ally, you touch it, and you improve.
There's now a obstacle in front of you, so you jump over it.
Congratulations, you're ready for the game.
The most brilliant part about this is that it takes place over about 6 seconds of play time and is entirely subconscious-a far cry from many games.
Half life 2 is another amazing example of this, but I'll save that for some other time.
