Left 4 Dead - It really brought something new to multiplayer gameplay in a FPS, you had to work together with your team or you just won't survive. That becomes even more the case when you play the competitive mode against another team. This is the game I've put the most amount of hours in to playing online with my real life friends, it was a lot of fun.
Metal Gear Solid 4 - It's odd to think it's almost four years ago since it was released now and I realise that it is a game that not everyone loves, but it is a truly cinematic game. I bought a PS3 for it.
Mass Effect 2 - Mass Effect was a great game, bringing so much with it's own Sci-Fi world to rival the scale of Star Wars and the choices you could make gave it so much depth. Mass Effect 2 took the game and expanded on it so much further, brilliant game.
Assassin's Creed 2 - The first game was really unique, but it suffered because it was too repetitive, with not enough variation in what you actually did and the places you went. The sequel though was amazing, they created a fantastic revenge story with arguably one of the best realised video games characters ever in Ezio, the locations are varied and represent real places and they worked on making the missions much more diverse and interesting.
Red Dead Redemption - Great story and the scale of the game is amazing. It was a new direction for the sandbox style game and they worked on making it far more interesting than GTA was.
Other games I think deserve a mention:
Gears of War - Another franchise that brought great cooperative and multiplayer and a cinematic single player experience. Although it might not have been the true first game to do it, it is significant for bringing the third person cover system to the forefront.
Battlefield/COD - Just lumping them together, but they both provide an enjoyable series of games and multiplayer which is good fun, though some people take it a little too seriously.
Fallout/Skyrim - Huge scale to these games and is remarkable what they've managed to achieve, there is pretty much to much to do!
I'd also like to say that both Alan Wake and LA Noire were very innovative games, but they were both flawed and somewhat repetitive. If they make sequels, I'm sure they will improve on their problems.