All mine have been said already, but in no particular order I would say:
Bioshock - First time play through was a truly great experience for me.
Grim Fandango - Again the sotry is just that great, as is the puzzles, hard to repeat a second play through.
Rather oddly, World of Warcraft - The feeling of discovering things and getting around this huge world you know little about was pure gold, and what I think seals people into its clutches. Once you know enough about the game and its world it sort of loses it's touch somewhat. Plus I wouldn't feel as tired about playing it, which would be nice.
Alpha Centauri - Sort of a combination of the above. Sure I?ve played every civ game out, but that was different, new and interesting directions, a varied storyline... Exploring its depths was a treat.
Edited for fail spelling. More than usual anyhow.