Well, I don't know about the industry as a whole, but these are my games of the decade:
2000: Baldur's Gate II (alright, this one was close, as Deus Ex came out in the same year, but ultimately Baldur's Gate the spot because the story/characters were superior, the modding community is still active, and it's one of those few sequels that actually managed to improve on the original)
2001: Silent Hill 2
2002: Elder Scrolls III: Morrowind (again, this one was close, just inching out Splinter Cell, but I think that series really topped out at Double Agent, while Morrowind is easily the peak of the Elder Scrolls series)
2003: Knights of the Old Republic
2004: Half-Life 2
2005: Shadow of the Colossus
2006: Splinter Cell: Double Agent
2007: Mass Effect
2008: Gears of War 2 (this was tough not because there were a lot of games I liked, but a lot that disappointed: Fallout 3, MGS4, Prince of Persia, etc.)
I'm reserving judgment for 2009 until after I've played Arkham Asylum and Dragon Age: Origins.