Marvel vs. Capcom 2 (first game I played at an arcade)
Super Mario Land (first game I've ever played)
Resident Evil 4 (still playing it now)
Fallout 3
Call of Duty 4: Modern Warfare
Tell you guys what, Persona 3 AND F is simply the best! It could even pawn Final Fantasy! Great Music, Great Storyline~ I don't think you can get different endings in FF... At least I think so.
Persona is the best!! Yeah, shooting your heads and... yeup. While Persona 4 is all about breaking the ice *ahem* glass... I think!
FPS: Call of Duty: Modern Warfare 2 (The first one was awesome, but it is in my retired games collection.) and F.E.A.R. (Haven't played the 2nd one...Alma scares me a little.)
MMORPG: World of Warcraft (Vanilla was the best - Screw welfare epics)
RPG: Pokemon Yellow (Having a Pikachu follow you was awesome.) and Final Fantasy 7.
I say Timesplitters because I keep coming back to it, even if it's an old game.
The mapmaker feature and sheer fun of arcade make sure I never get tired of it.
PC Games.
Only and Forever.
P.S. LOL consolefags :D
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If seriously:
it depends.
PS2 - Persona 4
PS3 - MGS4 and Valkyria Chronicles
PSOne - Persona 2
XBoxSUXX!!360 - Gears of War 2
GameCube - Resident Evil
Wii - Resident Evil
Sega MD - Comix Zone
NES(Dendy in Russia) - Super Contra and Nekketsu Kakutou Densetsu
SNES - Clock Tower and Shodai Nekketsu Kouha Kunio-kun
PSP - don't have any fav. except for Persona
NDS - Advance Wars, Resident Evil and Phoenix Wright. also Death Note(fun net play. srsly)
And finally, PC - Operation Silent Storm, Hammer and Sickle, Blitzkrieg 2, IL-2 Sturmovik(Pearl Harbour add-on),... lots and lots.