In no particular order:

Doom 3

A great experience that will keep you hooked, with great atmosphere, great lighting effects, and some particularly scary scenes. Not a great Doom game, but a fantastic game on its own.

Half Life

It took me 2 playthroughs to enjoy this game. The first one I was complaining about the archaic level design, with all its first person platforming, and hitscan enemies. The second time around, after being acquainted with the gameplay mechanics, I appreciated the game for its subtle story telling, great set pieces, and variation in gameplay. A must for anyone who calls him/herself a gamer.

Grand Theft Auto IV

Considered by many the black sheep of the series, it took the series into a new direction, making it more gritty and realistic. What this resulted in, was cars with hard to manage handling, awkward physics, and a smaller, more condensed map. But, in my opinion, these elements are what make GTA IV stand out, with a map filled with memorable locations, tricky, but fun car handling and some really awesome physics tricks (swingset glitch anyone?)

Max Payne (series)

Yes, you should play this entire series. No question.

Duke Nukem 3D

One of the best FPS ever made, with mostly fantastic level design, good weapons and a surprisingly big level of interactivity with the environment. You can look yourself at the mirror, pee, step on ♥♥♥♥♥♥♥♥, blow up walls, give money to strippers... The levels are very dynamic and often resemble real life places. Couple this with a one liner Schwarzenegger type hero, and you got yourself a game worth mentioning in the history books.

Blood

Made in the same engine as Duke Nukem 3D, this game parodies horror movies. You play as Caleb, an undead gunslinger who wants revenge against a dark lord, for kidnaping his girlfriend (almost seems like the plot for Super Mario). Once again, there are 5 episodes to play, each with 8 levels, and a secret level. The level design is fenomenal, the weapons super fun to use, and Caleb spews out some great oneliners. A must for any FPS junkie, such as myself.

Snatcher

An entry on this list that surprises even me. My first Hideo Kojima game only released on the Mega CD (atleast, the English version of it). It's an awesome adventure game, with a murder mistery just waiting to be solved by the player. Right from the intro you get sucked in by its gorgeous pixel art, cyber punk aesthetic and fantastic music (just take a listen to it on Youtube... The saxphone will make you orgasm in 80s bliss). The rest of the soundtrack is comprised of FM scores that take advantage of the YM2612 present on the standard Mega Drive, and they ain't half bad at all. There are a few dialogue sequences of surprisingly decent quality and overall a cenematic quality to the whole package that just keeps you coming back for more.

(list in development)
Yes, I own and played all games mentioned in here (probably more than once :D)