Oh god this is gonna be a really tough one.
I remember having a heck of a Dynasty warriors 3+ Extreme Legends marathon with 3 other friends for a week. Such a fun week that went past in a hazy blur as at least one of us was always playing that game, and the rest would randomly go to bed and eat at odd times before going back to play/watch. Fun times, ah to be a kid again :') That would probably be the longest time I've spent on a game even if I wasn't exactly alone here.
Otherwise on my lonesome, moo2, xcom (original), various paradox games, gal civ, fallout new vegas and Skyrim all had me playing at least an allnighter if not more.
And it was TOTALLY worth it.
Oh there's a also a few mmos...But I don't count them, because in those cases I was feeling pressured to make the most of my month sub+wasn't really having fun so much as wanted to go up in lvls and play as much as possible and in the end that feeling turned me off mmos completely, I'm much prefer just paying for x hours and not feel pressured (ironically, most mmo players would vehemently disagree with me and prefer the reverse, but then I suppose that just proves why I'm not an mmo player).