Cryostasis: Sleep of Reason - The BEST story and atmosphere I have encountered in a video game, bar-none, just another reason why those guys in and around Russia are amongst my favourate in terms of game developers.
Red Dead Redemption - Again, excellent story that blew my mind away.
Mass Effect 2 - Not much to say that hasn't already been said, if you have a PC or 360 and don't own this game, you are a fool, pure and simple.
[small]I was going to put Metal Gear Solid: Peace Walker in there, but it was developed with 4-player Co-Op in mind, which kind of disqualifies it from the 'single' part of the whole thing, but it gets an honourable mention, at the very least.[/small]