Mega Man X Collection - Mega Man X is one of the best game series ever. Yeah, the games are short, but it's just so fun to play through a game or two in the collection every once in a while.
Mega Man Anniversary Collection - Not quite as good as the X series, but still fun in its own right.
Devil May Cry 4 - I've beaten the game on DMD and Legendary Dark Knight (Woo, PC version!) and beaten the Bloody Palace a few times with both Nero and Dante.
Starcraft: Brood War - I've had so many good times with this game. It helped that I had a friend who also played the game fairly often. We'd often have 1v1 matches where he'd mass insane amounts of Battlecruisers/Carriers, and I'd barely manage to win deciding battles with Scouts and Arbiters (stasis field FTW!), with the occasional High Templar for some Psionic Storm goodness.
Starcraft 2 - I've beaten the campaign about 7 times on Brutal. I do have my fair share of multiplayer experience as well, having played at least 300 league games and at 300 custom games.
Diablo 2 - so many classes and skills, so much replay value
X-Men Legends 2 - strangely enough, I don't think I ever managed to have a complete playthrough when playing with friends. Oh, how I long for the days when it was easy to have a friend or two over for a good session of co-op gaming.