Such a hard choice...
I can't really do a favorite of all time, but I can do a top list that are all pretty much equal...
Diablo II for its badass story/hectic gameplay and sick replay value.
Castlevania: Symphony of the Night, again, sick gameplay and some of the greatest replay value ever
Final Fantasy VI: One of the greatest stories and definitely the best villian that has ever been in a Final Fantasy.
Mass Effect 2: For what is (to me) the most awesome open ended RPG ever.
World of Warcraft: Besides simply being an extremely fun game, it's also the game that introduced me to what are my best friends, and even though we've all quit, we all still play other games together. Without the WoW, I wouldn't have that.
Final Fantasy XIII: I still haven't quite beaten the game yet (deliberately taking my time) but I already believe this FF has the best battle system in any FF and probably any JRPG.
Borderlands, though not on the list above, definitely takes the cake for FPS's for me. The story is kind of meh, but absolutely hilarious (and the DLC's just get even funnier, Knoxx and Ned had me in stitches) and since I play it with 3 other friends it's just absolutely awesome fun.
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I am Jon Stewart with some Colbert cynicism, Thomas Edison's curiousity, wrapped around a hardcore gamer sprinkled very liberally with Deadpool, and finished off with an almost Poison Ivy-esque love/hate relationship with humanity flourish.