I complete every game I own 100%. Even if I don't particularly like it, I feel obligated to increase my credibility when I talk about games.
That being said, I've cleared Final Fantasy 13, that was truly a titanic undertaking. Donkey Kong Country Returns, Twilight Princess, Majora's Mask, Ocarina of Time, Super Mario Galaxy 2, Fallout 3, God of War 3, and Red Dead Redemption are the games I've most proud of completing.
Edit: And Kingdom Hearts 1 and 2 on Proud difficulty. That took a while as well.