Pokemon Black & White. I actually went to the midnight release, and I played it until about 5am. I picked it up again immediately after I woke up that afternoon. Pokemon Blue was my very first video game ever, so the Pokemon series has always been very near to my heart.
Portal 2 was a more recent example though. Oh god I was so pumped. I sat down with a friend of mine who enjoys watching me play vidya and we completed it together that night after about 6 hours. Though she doesn't enjoy playing herself, she really helped me out with some of the puzzles-- it helps to have two pairs of eyes and two brains working at once.