Gomoku
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Gomoku (五目) is a japanese board game played with Go pieces and board (black and white stones on a 19x19 line board). The stones are placed on the intersections of the board, with black playing first. The first player to get five stones in a row wins.
Beyond the most rank beginner ability, making two intersecting runs of three stones (each line open at each end), which is an automatic win for the player who makes the two lines, is illegal.
Careful mathematical analysis (reference, please) has shown that the first player to move, with perfect play, will always win.
Various rule variants exist, including ninuki-renju, which was published in the USA as Pente.