Lufia and the Fortress of Doom (SNES, blind run)
Chrono Trigger (SNES, new game without a +)
Legend of Zelda: a link to the past (SNES)
World of Goo (PC, blind run)
Splinter Cell (PC, blind run)
Mission Impossible (N64)
Half-Life 2: episode 1 (PC, blind run)
Half-Life 2: episode 2 (PC, blind run)
Half-Life: Opposing Front (PC, blind run)
Star Wars - Jedi Knight II: Jedi Outcast (PC, blind run and with excessive realoading cause I was OCD about having the most awesome looking lightsaber duel with most opponents)
Shadowground: Survivor (PC, blind run)
Madball in... Babo: Invasion (PC, blind run)
Recettear (PC)
Mario Kart 64 (N64)
River City Ransom (NES)
Super Mario RPG (SNES)
Paper Mario (N64, blind run)
Legend of Zelda: Ocarina of Time (N64)
TMNT: Turtle in Time (SNES)
TMNT: Manhattan Project (NES)
Batman Return (SNES)
Alien Vs Predator (SNES)
Aladdin (SNES)
Metal Combat: Falcon's Revenge (yes a SNES light gun title)
Yoshi Safari (in the same sitting then previous light gun title)
Magical Quest (SNES)
CarnEvil (arcade)
Jets'N'Guns (PC, original release not gold)
Darwinia (PC)
Pretty sure there is other but can't remember title or my mind is getting too old to remember if I completed them, for childhood was prime to complete game in a single sitting due to video game rent before most game had save available. =p
And the one I am the most ashamed to have never completed in a single sitting:
-Super Mario Bros, for was never able to complete the damn game (don't ask me why considering I can play game like Super Meat Boy =p)