F.E.A.R., S.T.A.L.K.E.R., Fallout 3, Morrowind, and my all time favourite, Portal.
Portal kept up it's dark humor all the way through and not only stayed highly amusing, it got better.
F.E.A.R. has a lovely creepy atmosphere that's easy to get into.
Fallout 3 had a soundtrack and setting which matched perfectly, wandering around the world was a blast. (quite literally with that nuke..)
Morrowind had a sense of huge. I walked for hours across that world and still haven't seen it all. It's on my list for another run through, this time I want to be head of the assassins guild as well..
S.T.A.L.K.E.R. is S.T.A.L.K.E.R... Can put you on edge or lull you into a false sense of security before shredding you.

Fun as.
There's a few games on my list to play when I get around to it which should also be excellent. Mirrors Edge, Assassins Creed 2, System Shock 2, Bioshock, Oblivion. Killing Floor looks like it might have that quality to it. Haven't played them yet though.