Honestly? There's no way I couldpick just one game as my "all-time favorite". Firstly because there're quite a few games I've yet to play. (or that have yet to be made) And, secondly, because I love so many games, for one aspect or another.
It'll be difficult, but I think I can probably narrow them down by genre:
First-person Shooter: Half-Life/Portal series.
- The reason I picked this series and not one particular game within it is because I love every entry in the series. At times, for varied reasons. If I had to pick, however, my choice would likely be Episode 2 or Portal 2.
First-person Adventure: Metroid Prime
- This was, in my opinion, the greatest game Retro Studios ever crafted. It was a brilliant amalgam of artistic design and perfect atmosphere.
Real-Time Strategy - Single-player: Homeworld
- I still hold this game as not only one of the finest RTS games ever made but also one that has one of the best stories used in a game.
Real-Time Strategy - Multi-player: Sins of a Solar Empire
- Part of me wanted to put the likes of Starcraft or MechCommander 2 in here, but Sins is just such an exquisitely designed and, more importantly, balanced multi-player RTS. It released in 2008 and I still play it with some regularity.
Turn-Based Strategy: Civilization
- This series in general is easily one of the best of the genre.
Action-Adventure: Banjo-Kazooie / Conker's Bad Fur Day / Psychonauts
- I simply can not find it in me to pick one of those over the others. Each is brilliant in it's own way.
Platformer: Super Mario Brothers / Donkey Kong Country
- There have been many a well-made platformer over the years. Some more complex and intricate than those two. Yet, they still hold a special place in my heart. Sure, nostalgia glasses, blah blah blah. I still love 'em.
2D Action: Earthworm Jim / Viewtiful Joe
- Both of these games were extremely creative. They did something interesting in a genre overrun by generic knock-offs and did it both in style and with comedic wit.
Role-Playing Game: Zork
- I don't know why, but I absolutely adore this series. The blending of sword-and-sorcery fantasy along with steam-punk and modern-day, not to mention some brilliant writing and dry wit, just resonated with me. I'll still boot up the ole' DOS Zork every once and a while.
Honorable mention to Earthbound. Notably for many of the same reasons I love Zork.
Simulator: MechWarrior series
- Now, you can argue until you're blue in the face that these games "don't count" as simulators. I'll still disagree. Either way, I still love the hell out of this series. A very, very close second goes to Freespace. Easily still the epitome of space-combat sims.
Racing: Wipeout
- I don't necessarily mean one particular game in this series as I'm not entirely sure which one I'd pick. That said, there was always something about the Wipeout series that stuck with me. Maybe it was the art design, the detailed futuristic world, the gameplay, the soundtracks....I just don't know. Whatever it was, these games still remain my favorites.
Sandbox: Garry's Mod
- I mean, really? This is pretty much the epitome of sandbox gaming. Quite literally do just about any damn thing you want...and then some. Really psyched for Gmod13.
Horror: Eternal Darkness: Sanity's Requiem
- Creepy. Scary. Lovecraftian story telling. Unique and oft times mind-bending "psychological effects" that mess with the player. Epic boss battles. Multiple endings and story paths. Etc, etc, etc. I just loved this game. So much.