Mine are:
1. Dark Forces II: Jedi Knight
2. Jedi Knight II: Jedi Outcast
3. LoZ: OoT
4. The Harvest Moon series
5. All other Zeldas
6. All Mario games
7. Punch-Out!! series
There isn't a "favorite" for me but there are games that I enjoy very much.
Zelda OOT
Shenmue
Soul Calibur
Gulty Gear X
Final Fantasy VIII
Morrowind
Mario 64
Mario Kart 64
Castlevania SOTN
Crazy taxi
Goldeneye
Resident Evil 2
Broken sword 2
Sonic 3 & knuckles
and some oldies... Most of them are the best of their category.
Phantasy Star Online on Dreamcast. Most gripping game I've ever played - and the first real 'online community' I had experienced. Will never forget it.
Scortched Tanks for Amiga
Military Madness for TG-16
Rise of the Triad for PC
Crusader No Regret and No Remorse for PC
Wing Commander for PC
Donkey Kong arcade
Bookworm for PC
I'm sure there are more. And I must say that many current games in the last few years although very fun in their own way will never come to mind like these.