Declaring just one game to be my favorite of all time would be genuinely impossible for me, so like many of the bad-ass rule breakers in this thread, I will discuss a few notable titles.
Metroid Prime - Metroid is a brilliant franchise with several installments that I'd consider to be among the best games of all time. My personal favorite happens to be Metroid Prime; a game that beautifully highlights the isolation and exploration made famous by previous titles while providing a unique perspective that, in my opinion, serves to boost the game's immersive qualities immeasurably. This game is simply remarkable.
Dark Souls - Having grown up adoring the Ghosts n' Goblins franchise (Arthur remains my favorite video game character), I've come to appreciate gruelingly difficult games. While I feel Demon's Souls is slightly harder than Dark Souls (and this could simply be a case of the former preparing me for the latter), it's difficult to argue that Dark Souls isn't a much more solid game. The open world, made possible by the amazing campfire system, gives the game a size and scope that seems to underscore one of Dark Souls' most prominent themes: you are an ant among Gods. It also gives a lot more weight to the journey throughout the game by allowing you to reflect on the road paved with your own bloodstains that led you to your current destination. As with Demon's Souls, the combat is extremely solid and boss fights can often be intensely gratifying. I'm glad this game is getting a lot of appreciation because I feared, in our current age of casual gamers, that the difficulty would be too frustrating for most people. On an interesting side note, it was actually SwiftTomHanks who introduced me to Demon's Souls in the first place.
The Legend of Zelda: Majora's Mask - It's depressing to know that Nintendo will likely never make a game quite like this ever again, which seems to be a somewhat appropriate feeling given the tone of Majora's Mask. Instead of simply regurgitating Ocarina of Time, Nintendo crafted a game so heartfelt and emotional that it's still discussed, dissected and enjoyed by countless people today. A purely revolutionary approach to game design allowed players to explore universal human themes in a way that was, and still is, simply profound. Even trying to describe a fraction of this game's greatness is an overwhelming task. This game is unforgettable.
Even listing three doesn't feel like quite enough, but I don't want to ramble. Shout outs to Steel Battalion, though.