Dark Souls - Everyone knows by now I'm sure (apply to rest of post if you will).  The key is From's faith in both the player and in their creation to compel them onwards.  That attitude runs through everything in the game, making everything incredibly satisfying because you earned it.  Even minor discoveries and realisations feel like huge leaps in understanding.
Probably the most impressed I've been with a 3D world, too.

Demon's Souls - As above but darker, tougher, bleak throughout.  It's not sadistic though, it's just subtle with its encouragement.
The Nexus is such a great hub.  Both sanctuary and tomb, it surrounds you with people who lack what the game is asking of you.  They are cowards, weaklings, thieves and murderers hungry for power without the hardship.  You're always glad to return to the Nexus but you know that, eventually, you have to face what's out there.

Ikaruga -  A few simple rules pulled in every direction for 30 minutes, a new skill to be learned every few seconds.  Perfect.
 
Halo: CE - Still the best Halo campaign, later installments made you a bit too much of a robot superman while here the scale, mystery and booming sound effects make you feel as vulnerable as it's possible to feel in MC's shoes.

Halo 3 - Obligatory Online Game of Choice.  My most played game ever even if I just count the 9400 games logged online and ignore the 6 months of caning the campaign and offline MP.
So refined, so generous, gorgeous to this day, from a time before Bungie's failed experiments with Reach and 343's caving in to XP, perks, loadouts and accessibility at all costs.
Theatre was such natural fit for Halo's tinderbox, too.

God Hand - Plays the fool with daft (though often genuinely funny) jokes but underneath is a unique and extremely satisfying brawler.  It is tough but it's impossible to be angry when your adversary is a man dressed as a gorilla dressed as a Mexican wrestler and your death is entirely your fault.

SM64 - They got the controls right the first time.

RE4 - It's the lack of downtime which impresses, in hindsight.

Link's Awakening - Nostalgia vote but it stands out in the series, along with Majora's, for going further into the surreal and adding a little ambiguity to your role.

F-Zero GX - More thrilling than any other racer and much deeper than it first seems.