Shit where to start. Here are some key favorites in no rigid order:

NES:
Mario, Mario 2, Mario 3 (3 being the best obviously)
StarTropics

N64:
Ogre Battle 64
Perfect Dark 64
Vigilante 8
The Legend of Zelda: Ocarina of Time
StarFox 64
Rogue Squadron
BattleTanx 2: Global Assault (really fun multiplayer)
Gauntlet Legends (fun as hell with a couple friends)

PC:
StarCraft (SC2 is decent but a bit of a let down)
Caesar III
Master of Orion II (and MOO 3 sucked so bad they should be ashamed)
Command & Conquer/Red Alert 2/Generals (some of the newer ones are alright but not amazing)
Diablo II
WarCraft II/III
Escape Velocity Override/Escape Velocity Nova
Myth/Myth II (A piece of me died when the bungie servers went offline for good and the multiplayer was basically destroyed)
Gangsters II
Black & White
Mafia
Civilization III & V
Morrowind/Oblivion/Skyrim