If it's favourite and not one I consider the best (which would probably have been a tie between Planescape: Torment and Deus Ex), I have to say Vampire: The Masquerade - Bloodlines.
It's buggy, it's ugly, it doesn't even hide it's linearity. But it also has a cast of memorable characters and lets you be a vampire stalking the back alleys of modern LA. And the vampire comes in seven distinct flavours, including two that play very differently from the rest, which makes it worth one's while to complete the game at least three times (I've done it four times so far).
As far as I know, Troika Games went broke shortly after releasing Bloodlines.