Morrowind. I remember spending the entirety of my two month school break thoroughly exploring the whole island. And merely plundering dungeons wasn't enough, so I ended up stealing everything of value and not nailed down to the floor. I'm hoping to eventually replay the whole thing with the Tamriel Rebuilt megamod installed, but imagine the amount of time necessary for THAT if the base game alone took two months...
Doom, Doom II and Wolfenstein 3D. Plenty of great memories associated with the games, but they're on my list mostly because of their respective modding communities. Doom II is a perfect FPS game and its superior, still unbeaten gameplay mechanics have been spurring numerous modders to produce top notch work for twenty years now, and they're not slowing down at all. Wolfenstein isn't holding up quite that well, but new mods still appear regularly (including my own soon enough).
The Fallout series. This includes Fallout, Fallout 2, Fallout 3 and New Vegas - each one for different reasons. Fallout is an incredibly atmospheric gem of a post-nuclear RPG. Fallout 2 is a bit more light hearted, but much, much richer in content and more open ended. Fallout 3 has a much weaker storyline, but since it's a combination of the Fallout atmosphere and Morrowind-style freedom, I didn't care. And in New Vegas, the storyline is no longer an issue.
Deus Ex. Oh my, even the story behind this one is uncanny, with Romero calling Spector and pretty much telling him he can make any sort of game he wants to. The result is splendid. So much freedom, so many viable playing styles, secrets to find, lore to uncover, meaningful decisions to make. Recently I have also played The Nameless Mod, which is a Deus Ex modification that's probably even bigger and better done than the original game. Both Deus Ex and TNM are absolutely delightful gaming experiences.
Heroes of Might and Magic III. It's been a long time since my last attempt at this one, but believe me, it's an unbelievably addictive, perfectly executed and simply brilliant turn based strategy. The AI might be weak, but that's OK because most good maps, and even some official campaigns, are very tough and require you to exploit its weaknesses in order to win. And where the game really shines is multiplayer mode anyway, especially Hot Seats.
System Shock. It's like a several years older Deus Ex minus all the NPC interaction. Superb level design, terrific, tense atmosphere, a creative approach to storytelling and highly appealing gameplay, all really well executed. Well, perhaps the respawning enemies were unnecessary, but they do keep you on your toes when exploring the station.
The Might and Magic series. First person perspective, turn based (with a bit of real time fighting thrown into the mix) RPGs bordering on hack and slash. Exploration, combat, exploration, combat, exploration, combat, repeat as many times as necessary. A rich, varied world, and just challenging enough to keep you playing.
Secret Agent and Crystal Caves. Two extremely fun, but sadly equally obscure platformers. They deserved fame, glory, and a level editor. They got neither. There's a game freeware game called Special Agent, which is sort of a spiritual succesor for Secret Agent. It's equally obscure and the author's website is defunct. It's a sad story.
Deluxe Ski Jump 2. OK, this is a very niche one, but honestly, ski jumping is fun and this is the best ski jumping game ever made.
I guess that's it, though games like Raptor: Call of the Shadows, Tyrian 2000, Transport Tycoon Deluxe, Sensible World of Soccer, Championship Manager 2001/2002, Heretic, or I Have No Mouth and I Must Scream, all deserve a mention here.