Half-Life, easy. People say "oh the settings bored the shit out of me", but that isn't what amazes me. It's simply the believability, as someone has already said, it feels like it could happen, and everything that happens is backed up. Not like Halo where science is ignored simply to get to the meaty fiction bit. On top of that, Half-life has me asking about its universe, even when it doesn't apply to the situation (i.e. a LOST sort of conundrum); I mean, there are so many theories on the G-man, the combine (their motivations, their evolution, their biology), the game's technology, and the history that's presented. Another thing is that it all takes place on Earth (conveniently forgetting about Xen for the moment...), and I never feel like the developers aren't making full use of the planet instead of simply saying "oh, another environment; YOU KNOW WHAT THIS MEANS! NEW PLANET!".
Anyway, I just find Half-Life's universe to be so much more satisfying and interesting than the others you listed. Killzone...could've been better done, Gears is just about the killing, really (although the destroyed beauty theme is a good one, it's always outshined by the violence), whilst Resistance had a very clever universe that was ruined by the second game...but there you go.