Hard to list just one, but here's my top 5:
1. Xenosaga Episode I: Der Wille zur Macht. I really credit this along with Chrono Trigger as what got me into RPG's in the first place. Tremendous cast of characters, excellent story telling, and a really cool implementation of various areas of religion and philosophy. While its sequels never reached the same heights of the original, the trilogy was just a fantastic story, and I'm still holding on to that faint, slim, non-existent chance that we may see a continuation. But I've also accepted that we probably never will.
2. Chrono Trigger. Much like Xenosaga, Chrono Trigger was what got me into RPG's in the first place. Over fifteen years later, this game still holds up incredibly well, and had one of the most memorable cast of characters ever. I can't even count how many times I played this game start to finish. I've actually been meaning to pick up the DS remake, too, so I can check out that new dungeon and ending.
3. Xenoblade Chronicles. Not only was Xenoblade my favorite game from last year, it also became one of my favorites of all time. Goddamn, Takahashi is a genius.
4. The Legend of Zelda: Ocarina of Time. This may just be the nostalgia goggles having effect, but goddamn I've gone through Ocarina countless times and it's the only Zelda game I haven't grown tired of. While other games in the series have since expanded and bettered the formulas introduced in Ocarina, that first step into a fully 3D Hyrule still feels as tremendous as it did all those years ago.
5. Super Mario World. Super Mario World was probably the first game I ever played, and it's the reason I'm a gamer today. After all of these years, there's yet to be another Mario game to top World, and it's another one of those games that I just never grow tired of.
Honorable mentions: Okami, Metal Gear Solid 3, Donkey Kong Country 2, Final Fantasy Tactics, Red Dead Redemption, Super Smash Bros Melee