Japan: none. USA: Duck Hunt and either Gyromite or Super Mario Bros, depending on the bundle you get. When it first came out in Japan (as the Famicom), it cost ¥14,800 and included two controllers, but there were no pack-in games - the three launch titles were Donkey Kong, Donkey Kong Jr., and Popeye.
When it first came out in the United States, there were two bundles: the $249 bundle included one controller, a Zapper, a R.O.B. , and two pack-in games (Gyromite and Duck Hunt), while the $199 bundle omitted the R.O.B. And replaced Gyromite with Super Mario Bros.
The NES had many different bundles, with and without free games. The original bundle that was released was the NES and Super Mario Bros. The next bundle, the Deluxe one, had the NES, R.O.B, a Zapper, Duck Hunt and Gyromite.
Some time later the Action Set was released with a Zapper, two controllers, and Super Mario Bros. And Duck Hunt on the same cart. Power Set bundle came next, it was the same as the previous bundle, except it also had the Power Pad, and the game cart also had World Class Track Meet along with the previous 2 games on it.
Sports Set bundle had wireless multitap adapter, 4 controllers, and a single cart with both Super Spike V'Ball and Nintendo World Cup on it. The Challenge Set then had two controllers, and Super Mario Bros.3. The Basic Set had the console, two controllers 'The Official Nintendo Player's Guide'.
There was then a re-designed version of the console, that had no bundled games/hardware.
According to Wikipedia the first NES released in North America in 1985 retailed for $199.99 and came with Super Mario Bros. There was also a second bundle, the Deluxe Set, that retailed for $249.99 that came with an electronic gun and the games Duck Hunt and Gyromite. This other site "ZeldaWiki" also states that NES first came with either Super Mario Bros.
Or Duck Hunt.
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