Is it a must to enter the Schengen Area through the country that issued me a Schengen visa?

Advaita is right. Nevertheless if your visa is a single entry visa, border guards may ask why do you enter to a Schengen State which is different to your main destination.

No, you don't always need to enter the Schengen area through the country that issued the visa.  The standing rule is that the application centre you will apply for a visa with depends ultimately on your main destination.  A main destination is where the main purpose of your trip will take place if you have many purposes; or the country where you will spend the most time in if you have the same purpose all throughout.  For example: If you are planning to go to a conference in France but decide to spend a day or two in Germany for a day tour, then you need to secure a visa from the French embassy.  This is because your main reason for coming to the Schengen area is to attend your conference in France. If however you are going on holiday all throughout, you decide to spend three days in France and four days in Germany, then you should go to the German embassy.  You can use the number of nights you will sleep in each country in case there is some ambiguity due to some days being used for travel between two countries. If the main destination can't be clearly be determined (for instance, you are going on holiday to both France and Germany and it is three nights each), then you must apply at the country that you intend to enter the Schengen area in. Now let me take this opportunity to clear one thing regarding the Schengen agreement.  It is primarily intended for EU/EEA/Swiss citizens to facilitate the principle of free movement they are entitled to, not for outsiders.  Hence you see random checks, other passport holders being referred to the country of their 'main destination', etc. That principle probably has implications for this next thing I am about to say.  Although you don't always have to enter through the Schengen country which issued the visa, you may need to 'register' with immigration authorities once you enter their country.  This is already accomplished if you either enter the Schengen area through the airports of the requesting country or you are staying at a hotel, in which case the hotel staff will take your passport details for you.  Otherwise, you will have to visit the nearest immigration office by yourself.