Halo:CE - I must have played it through many times.
Transport Tycoon. Chris Sawyer's classic isometric transport simulator. Copyright 1992! The days of starting it from DOS and having to pick your soundcard options as you went. Ooh, Soundblaster 16 compatible!
Quake 3 Arena. Just too much fun.
Starcraft (and Brood War).
And I wish I could keep Star Trek: Elite Force (the first one), but the version I have is old school Mac (ie, PowerPC, and the installer requires OS9/Classic Environment, so I have no way to even install it on my system, let alone run it (unlike Halo, which was also PowerPC but was updated to be able to install and run on newer Macs, and later fully converted to a Universal Binary). It's a shame, because it really felt like you were playing through an extended episode of the show, and the sound of the handheld photon torpedo launcher was ace.
I'll probably keep Civilisation 4 around forever too.