Tsukihime has the best story and character set IMO.
Fate was insanely fun/captivating to play and had Rin and Archer. The anime works against it's awesomeness though.
KnK is my current love and may just end up spawning my favorite anime of all time.
No way in hell I could choose between the 3.
Melty was fun but didn't make as much of an impression and Canaan isn't really T-Moon (only a couple of names tie it to the studio) and as fun as it may be, it lacks the dark and ominous mood of the above-mentioned.