The rocket jump first showed up in Quake, I believe.
Bungie's Marathon series beats Quake by a year or two. First one had grenade jumps, not sure if rocket jumps were possible. Pretty sure rocket jumps were possible in the second one though (1995) if you had a certain power-up. Yes, nerd. Also, SOMEONE IS WRONG ON THE INTERNET! etc etc
Rocket jumping has appeared in several games in a variety of forms, sometimes as a form of Emergent gameplay. A horizontal form of rocket jumping appears in Doom (1993), where it is used to reach the secret exit in E3M6 (it is possible to reach the exit without rocket jumping, but this technique was the intended method according to John Romero).
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