Myst. It grabbed my attention, puzzled me, angered me, awed me, and scared the ever-loving poo out of me.
Myst games tend to do that... They're all puzzles and exploration with two or three bits of pants-wrecking trauma.
Interestingly, all the other Myst games also had their own honors in my life as well...
Riven was the first game that made me cry, as well as the first game to make me shout with excitement.
Exile was the first game to make me scream (Brad Dourif, you evil evil man), and the first adventure game I completed without getting hints.
Revelations was the first game to make me upgrade my computer, as well as the game that solidified my status as a graphics whore. It looked REALLY good, OK?
Uru is my favorite MMO and my go-to game for how to design a level.
And End of Ages was the first game to make me actually wet myself.
I've played Silent Hill, Resident Evil, Fatal Frame, and Eversion, but it only took a crazy old man scratching a rock with a stick while laughing to put me on edge enough to physically leak. To be fair, THAT LAUGH WAS FROM THE DEEPEST DEPTHS OF HELL.