Hm, I play a lot of games and enjoy a lot of them, but I don't really have a single favourite...
I'll just list some games I loved to play;
Starcraft 2
Warcraft 3
Diablo 2
Alice: Madness Returns
BIT.TRIP RUNNER
BIT.TRIP BEAT
BRAINPIPE
Darksiders
Deus Ex: Human Revolution
Devil May Cry 4
Fable
Guild Wars
LIMBO
Machinarium
Mini Ninjas
Oddworld: Strager's Wrath
Overlord
Overlord 2
The Path
Plants vs Zombies
Recettear
Eccho the Dolphin
Shank
Swords and Soldiers
Trauma
Zeno Clash
Bolded a few that I would recommend to others, even though I love all these games.
All are available on Steam except the Blizzard ones ;)