Marathon is my personal favourite. A lot of shooters (especially modern ones) have far better gameplay, but these games have just sucked me in over the years with their story, tone and art.
The story is pretty incredible, especially for the time. You play a supersoldier essentially being thrown back and forth across the universe and through time to serve the (often convoluted) purposes of several mad AI's. Creeping through ancient alien fortresses and temples on dead worlds, black derelict ships floating through the void, even through dreams and nightmares.
Level design is pretty great too. Every level is an intricate multi-tiered puzzle box. You need to fiddle with wierd switches, traverse looping pathways, constantly check your map, get a handle on your bearings and kill your way through hordes of strange aliens that are all there with a purpose in the context of the story.
Gameplay isn't bad by any means by the standard of these old pseudo-3D shooters. It's not as tight as Doom and takes some getting used to though. Movement is extremely floaty, almost like you're gliding through the levels. Shooting feels very good. The animations and physics for the way the aliens die are very punchy. It's a strange engine.
Art-wise though, these games are astounding. Gorgeous, almost surreal pulpy sci-fi of just my kind of flavor. All about ancient alien constructs and flowing shapes and strange colours and space demons from beyond the fabric of a star. The terminals that tell the story sometimes open into wierd files with odd little sketches and abstract poetry that all have a place within the dream-like lore and progression of events.
Just check out some of these images from the game and the art archives:
I fucking love Marathon.