Any Bethesda game of late, that moment when you first see the sky and the sun is always awesome, regardless of the fact that I've done it one billion million times, but that first time is always the best.
Bioshock and Metro 2033, although being different in a number of ways, both of these games were wonderful in the fact that it felt like I was entering a strange and foreboding world, be it the Muscovite subway system or Rapture, I never knew what was going to happen next, I could never tell where I would end up or what would happen, these are the only two games where I've been legitimately scared by a game, more than a well orchestrated jump scare, but felt a true sense of unease and wariness as I explored the world, these are also the only two games that have given me a shocking twist that I didn't see coming.
KOTOR I and II, probably the best written game with the best written characters, at least IMO, plus it's Star Wars, so what's not to love.
Red Dead Redemption, the deserts and planes have lost a certain amount of charm has been lost considering the fact that I've put roughly 17 thousand hours into the game, but that first time around it was amazing, the only game where I felt if the main character and I weren't around the world would go on. Sure you end up fucking up a lot of peoples days, and you end up playing a rather large part in Mexican politics, but I felt if John Marston never showed up the world and all the people in it would never have noticed and gone about their lives.