The First commercial "wargame" was wrote and made by author H.G. Wells in 1913 under the title of "Little Wars: A game for boys from the Twelve Years to One Hundred and Fifty and for that More Intelligent Sort of Girl who likes Games and books."
The rules themselves were not anything to get excited about and more resembled my days of shooting GI-Joe's with bebe guns and bottle rockets when I was nine. Where the game really shined is in that it was the first to have the individual units and troops characterized by inexpensive, mass produced painted toy soldiers. These games eventually inspired the games you might all know as board games like "Risk" and "Stratego". Also, role playing games like Dungeons and Dragons, and all modern military PC games have their basis from these Wargames of old.