Kinda hard to say. My favorite at any one time fluctuates frequently. However, if you go by hours played, number of playthroughs, and so on, it would probably be Mass Effect 2. Great story, deep characters (if you bother to actually talk to them and do their loyalty missions, that is), and fun gameplay.
In second place, as of now, would probably be Vampire The Masquerade: Bloodlines. Well worth the $5 it cost me on Steam. Sure, it's a bit (read: quite) buggy, but the customization in the game is quite deep, and the characters are memorable. Plus, a game that old freaking me the hell out with the atmosphere of one of its levels gets props. Ocean Hotel...*shudder*