Former Sydney Roosters and South Sydney winger Burgess crossed twice in a breathless first half to give the home side a 10-0 lead at the interval.
Burgess returned back to Wigan after a disappointing 12 months in the NRL where he struggled to make an impression at the Roosters before finishing the season at South Sydney.
But he does enjoy facing the Sharks, having scored in a 12-6 Souths' victory last year, and showed great athleticism to acrobatically touch down in the fifth minute, before adding a second in the 23rd minute and sealing the result with his third in the final minute.
The Sharks were unfortunate to be denied two tries in the first half by the video referee, with Luke Lewis's effort chalked off after he was deemed to be fractionally offside when he touched down from James Maloney's perfectly-weighted kick.
Kurt Capewell then had an effort ruled out on the stroke of halftime, but the home side defended magnificently to keep the Sharks at bay.
Wigan came racing out of the blocks after the break with their intensity posing the Sharks plenty of questions in defence and Oliver Gildart added a third try after smart support work from French fullback Morgan Escare.
With the rain starting to fall, the mistakes started to mount for the NRL premiers with Fa'amanu Brown tossing a terrible pass towards James Maloney that sailed into touch.
However, Wigan were unable to take advantage of the error with the Sharks winning the resulting scrum against the head to break downfield and score through Raimen.
Boosted by that try, the Sharks laid siege to the Wigan line but were thwarted time and time again by a Wigan wall that wouldn't bend before they iced a memorable victory through Burgess.