1: Half-life 2, gameplay, story, atmosphere, everything comes together in beautiful harmony. It's fantastic, great fun and I'm excited for whenever Episode 3 comes out.
2: Planescape: Torment, greatest story and an unconventional one at that in a video game for me. The combat might not be all that great, but the universe and especially the story more than makes up for that.
3: Demon's Souls, again, good gameplay and a fantastic atmosphere really makes this game something special for me. It's the only game I've bothered to get platinum on, I like it that much.
4: Baldur's Gate 2. Already being a big fan of the Forgotten Realms universe, getting a chance to play and actually be a part of that world for a time is great. The fact that it's a great game too doesn't hurt. The depth is just amazing, there are so many thing to do in the game that even after multiple playthroughs, there are still new things to discover.
5: Morrowind. The ultimate free-roam fantasy game for me. There are so many great things in the game, all the weird and wonderful locations and the fact that you're not forced to do anything in the game is great.
Having to narrow the list down to these 5 games was pretty tough, there are a lot of great games I've left out, but it'd have to say the above five are the games I've enjoyed the most.