Without a doubt, Shadow of the Colossus.
The first time you see some of the Colossi is just breath taking. Not to mention having to figure out how to climb up them/how to beat them. Add all that with one of the most emotional endings to a video game that I have ever experienced. I have actually thought before "I wish I could forget this game so I could play it completely from scratch".
I like the mentions of Dead Space. That game has not gotten the attention it deserves in my opinion. Not quite on the level of SotC, but I have not seen a game that can compete with it on its level of emersion. Every tiny detail they had in that game was meant to pull you into the atmosphere they created. From no HUD, to no air, to no sound in space (I freakin' loved that), to the amazing graphics, to the excelent sound design. I do wish Issac spoke, I think the silent hero era is over.