It’s not a simple question. I’ve played thousands of games, and the tend to be different enough that there isn’t just one favorite. You didn’t even specify the type of game. Here’s an attempt.
Favorite board game: There are too many and they’re too different, but Wooden Ships & Iron Men, Squad Leader, Ramspeed, The Awful Green Things From Outer Space, Hitler’s War
Favorite tabletop RPGs: GURPS, The Fantasy Trip
Favorite coin-op arcade game: Venture, Gravitar
Favorite Atari 2600 game: Adventure
Favorite Intellivision game: Space Spartans
Favorite Atari 5200 game: Star Raiders
Favorite text adventure games: Suspended, Collosal Cave (AKA Zork)
Favorite Atari 8-bit computer games: Star Raiders, Necromancer. Omnitrend’s Universe, Crush, Crumble & Chomp (I could include others)
Favorite Atari ST computer games: Dungeon Master, Llamatron 2084
Favorite Mac computer game: Escape Velocity
Favorite M$ OS computer games: Tigers On The Prowl, Myth: The Fallen Lords
Favorite cross-platform (Linux, Mac, M$) games: Dominions, King of Dragon Pass, Myth II: Soulblighter, Conquest of Elysium, Ancient Domains of Mystery
Favorite “mobile” game (not saying much): Pirates & Traders