It will come as no surprise to most people to find out my favourite game is Ninja Gaiden on Xbox. IMO it's the most perfect action game ever created. The controls are perfect and the enemies are varied and challenging, but no matter how hard they appear, there is always a way to beat them. There are no cheap moves they do on you to kill you every time, and the controls never let you down, if you die it's simply because you aren't good enough. This always gives you the challenge is improving your skills to become even better at the game (something I'm still doing after 170 hours of total gameplay time). Roll on Ninja Gaiden 2.
Honourable mention must go to Mafia though, the best PC game I've ever played. A fantastic blend of action, storylines, believable characters and perfect voice acting. I've never become so engrossed in a story as I did with this, and I felt genuine emotion at the end of the game (no spoilers though). It's the only PC game bar Deus Ex I've ever gone through more than twice, which alone tells you how much I think of the game.