I think it's got to be Assassins Creed 2 for me. Not sure why, just really enjoyed playing through that game.
Borderlands.
Red Dead Redemption Amazed how it fits onto one 360 disk.
Still playing multiplayer aswell.
Honourable mentions:
Fallout 3 and NV
Demon Souls/Dark Souls
Mafia 2
I am shocked how nobody has mentioned Mafia 2. I thought the story was great and the way they executed everything into one really neat package. I urge anyone that hasn't played Mafia 2 to try it.
Borderlands.
Hard to pick one but i would say...
Dead Space
Prototype
Alan Wake
Batman