Well, it used to be GTA: San Andreas.
But now it's GTA 4.

Mostly because you can pretty much drive off and do any random shit you want, and it isn't limited by a lower age classification
My personal favourite thing to do at the moment is trying to bomb people by launching a flaming motorbike at them from a ramp. Very, very hard.
Also + for ragdoll physics. It's awesome watching people tumble after getting hit by a car or flying bits of scenery.

Well, either GTA 4 or Just Cause 2. Just Cause 2 mostly for the same reasons as GTA 4, with bonus grappling hook function.

I love me my sandbox-free-roaming-do-random-crap games.