I have to agree with that poster that said Planescape: Torment. One of my favourite games, and for about £5.
Although, the same goes for The Nomad Soul. Same price, awesome game. Come on... it's got David Bowie in it. What could be wrong with that? Any game that starts off by telling you that it isn't actually a game, it's a portal to another world and now the character is going to ask you to put your soul into his body so you can defeat an army of evil demons taking over his alternate dimension but, if you die in the game, you die in real life just HAS to be good!
There are way too many to choose though. There were some really retro puzzle games called The 7th Guest and The 11th Hour I picked up for about £2 each. Gotta hate that Henry Stauf.