Hitman (2, Contracts, Blood Money) is perhaps the most pure stealth game. It combines straight-up puzzle solving, tons of exploration and observation, and skillfully staying unseen and unheard. I really wish the default difficulty was one of the harder ones, though; in a game about stealth, it should be impossible to get away with a firefight. Funny thing is, it's logical for a game about a hitman to not be purely about stealth. It's just done so damn well that they might as well have forced it to get the best results. Blood Money did a great job at veering away from the gunfights, though. Combat isn't bad.
Thief (1 and 2, **** Deadly Shadows) easily has the best story, atmosphere (literally perfect audio), control, and level design. Unbelievable presentation all around. Perhaps the best game, at default difficulty, in actually forcing stealth. I'd probably say that Thief 1 is my favorite stealth game. Excellent combat, due in part to the audio and animation. Swordfights with heft.
Splinter Cell is extremely linear, has pretty meh control, and I don't really dig the presentation. Still, it all sort of plays out like a decent puzzle, and the combat seems nice enough.
The Metal Gear Solid games have nice presentation, decent level design, decent control, and with the exception of MGS3, they do a decent job at pushing stealth on the player. The stealth itself isn't bad; I dig the corner-hugging and crouching in the first two games. Yeah, yeah, I actually think the first two games play better. The third one isn't bad, but the only reason I liked it so much was because of the absurd rush of an ending segment.
Splinter Cell might be my least favorite, really. I mean, they seem like good games, but I just haven't gotten into 'em yet. It happens.
Oh, and since I feel like it, I should mention multiplayer. I do like Splinter Cell's multiplayer. Not as much as Thievery (might as well count as Thief's multiplayer), but it's cool.
Yeah, the game definitely takes place in a magic steampunk setting. It makes perfect sense.