I think my favourite all time game would have to be the original Tomb Raider. Playing through it on my Saturn was an absolute joy. I was only about 11 / 12 back then too so it used to scare the hell out of me
Coming a very close second would have to be Thief: The Dark Project. To this day I have never had the pleasure of playing such an immersive game; the atmosphere was absolutely spot on. It also has to be one of the scariest games I've ever played (alongside SS2 and Clive Barker's Undying).
Multiplayer wise it has to be Tribes 2 - pure, undiluted awesomeness.
Other games worth mentioning are KoTOR (awesome plot), Crysis and Portal. Oh and WoW... even if it did steal my social life from me. Incredible lack of self discipline ftl
[EDIT] And Deus Ex, which was completely and utterly brilliant.