My list (which would also be a list of games a actually played all the way through without losing interest in the middle) would be:
Eye of the Beholder 2
Never managed to finish the first one and the third one was a bit of a turd, but EOB2's got a permanent place in my heart.
Master of Orion 2
Best balance of game complexity and streamlined play I have come across so far.
If anyone can recommend a true MoO2 successor worth playing (nor galactic civilisations 2, its too complex), I would appreciate a note further down.
Neverwinter Nights: Hordes of the Underdark
The first campaign and the first expansion were just plain dull, but this expansion actually made for a single player game worth playing.
Baldurs Gate series
I am still playing it from time to time.
UFO: Enemy unknown
Tactics and strategy at its best.
Max Payne
What a game! What a story! Bullet-time!
Diablo 1 & 2
Great plot and story for the SP and a simple but sometimes challenging game that provided heaps of fun! Remember when I heard RAAAR, fresh meat!!!! from the Butcher the first time. Scary!
Starcraft
Best RTS I've played so far.
Jedi Knight: Dark Forces 2
Awesome game at the time. First Star Wars game where you could choose between good and evil and have separate endings.
Knights of the Old Republic
Compelling story, both dark and light side. Graphics are decent enough to warrant a play through even today.
Halo
Don't know if it really applies, but as an Xbox game, it makes it to my PC-game list. I had good fun playing this game coop all the way through. In my mind, there are not enough coop play games out on the PC, that does it good.
Vampire the Masquerade: Bloodlines
Fantastic RPG with heaps of re-playability and depth. Worthy download on STEAM.
MDK2
One of the most clever FPS's I've played. Silly but dark humour, interesting level design and varied gameplay with funny boss fights! This one is solid gold!
Call of Duty 4
Breathtakingly involving story and solid action all the way through.
Legend of Zelda 3
It's like Zelda 1, only better in every way possible.
Syndicate
I actually never managed all the way through the last stage (middle Atlantic station), but considering the impossibility of doing that without cheating, I don't think that matters.
All of these games should be playable on a PC (considering DosBox, emulators and what not), except Halo, which is obviously only available on Xbox.