A few years ago: Metroid Prime. I think, among my collection of friends, I was the first to beat it all the way through and I felt good about it because it was one of the few games I had taken the time to finish it. I didn't get 100% (which sucked) and my memory card fucked up so I couldn't beat it on hard mode before it erased itself (also sucked). But it was great. It was even cooler when my friend was having trouble with the final boss and wanted me to play it for him (I failed because I was being distracted by people watching me).
Also: Soul Calibur II. Same friend of mine and I would do a 5-win game and play as Nightmare vs. Nightmare. Matches could have been as long as 25 minutes or so because we both were either incredible awesome or sucked really bad (depends on your point of view). But it was always fun to fight til the very end in those matches as they were almost always nailbiters.
Recently: L4D2 is just awesome because I just love taking down Tanks or killing Witches. Plus, running over the bridge in that one finale is just a blast. Whenever a Tank goes down though, I feel pretty damn accomplished because they can be a pain in the ass in certain situations.