It sure was Jazz Jackrabbit... Oh, that bloody jackrabbit.
It was Agent.
And I loved it the first time I played. I think I've never played the registered episodes, but finished the shareware one. If this 'Anthology' has Agent in it, I'll definitely finish that game. It's one of those loose ends in my life.
But when I played Duke Nukem 3D, the first 3D Realms game I ever played, everything changed forever.