I don't think I have a favorite, but a classic that I love to load up sometimes is System Shock 2. Binding of Isaac and Enter the Gungeon are great games too. Fallout: New Vegas was fun too.
I reckon the game which has given me the most pleasure, gameplay wise, was Bayonetta. Looking forward to the 10th Anniversary Bayonetta / Vanquish release in Feb. It's already on pre-order.
Final Fantasy 7, and it's remake is just 2 months away, i've been dying to play it but i've already waited for 10+ years so another 2 months won't hurt