Fallout 3, although i've finally finished milking that cow, for now.
Borderlands, you get the ability to have 3 play-throughs which are increasingly difficult, the choice of four characters to play, and if you thought single player was good, get going with a mate or two online it just gets better and better. Nearly milked the cow on that one too.
Bioshock, great story, and a replay gives you that moral choice again, will i or won't i be evil to small girls....?
There's been others, but as many games i've replayed their are quite a lot that i've finished and will never play again, worst being terminator salvation, oh the shame, please don't tell my friends.