Mainly multiplayer games which are well balanced I concider as pure fun when playing with friends. I also enjoy playing alone but often it's not fun in the same way. One game I actually had very fun and got drawn into was Prince of Persia The Forgotten Sands. But multiplayer titles I've been playing uncountless hours with friends are Super Smash Bros Melee, 007 Golden Eye, Dragon Ball Z Budokai Tenkaichi 2/3 and the Guitar Hero / Rock Band series.
Single player games I really enjoy and are more than just "I want to get through this game because it's a nice challenge" are: The Metroid Prime series, Mario, Prince of Persia (Rival Swords and The Forgotten Sands), Red Steel 2, The Legend of Zelda series.
Of course there are more but these are from the top of my head.