Too many to mention. There's no 1 game that I hold above all the rest but there certainly are a few that I can point to as my favorites or at least hold a special place in my heart. I suppose I could go through some of my favorites in specific genres:
RPGs: Phantasy Star 2, Final Fantasy VIII, Lunar: Silver Star Story Complete
Platformers: Super Mario World, Super Mario Galaxy 2, Rayman: Origins
FPS: Duke Nukem 3D, The Bioshock Series, CoD: Black Ops 1, Unreal Tournament 2004, Quake 3 Arena, Team Fortress 2, Halo 2
Games that can't be classified in a single category: No More Heroes, God of War, GTA: Vice City, Metal Gear Solid 3
Third Person Action Shooters: Mass Effect 2, Alan Wake, Gears of War 2
Adventure Games: The Walking Dead, Tales of Monkey Island, Snatcher (Sega CD)
Sports: NBA Jam Tournament Edition, NFL2K5, NFL Blitz 2000
Fighting Games: Tekken 1-3, Street Fighter Alpha 3, Mortal Kombat 2, TMNT: The Arcade Game
I'm sure I'll think of more later, especially ones from the earlier consoles.