I didn't really have a game console when I was growing up (and when I did my parents confiscated it because my brothers played it too much), so most of the games I have fond memories for were PC games. There are two in particular that I consider my favourites: StarCraft and Nox. Those two are tied for first, in my opinion, because they're two of the few games I've completed in my life (I'm not too serious of a gamer), and the only two I've gone back to complete again.

Mega Man 2 on the NES, Hands down. The game that cemented my role as a gamer for the rest of my life.