Darklands. I've sunk an obscene amount of time in it over the years.
In fact, Darklands is what made me discover RPG Codex in the first place. Other forums were busy talking about gay as fuck JRPGs like mainline Final Fantasy or having console wars discussion. I'd start a Darklands topic, it'd go into the pits of obscurity to die a lonely and unsung death. Then you'd have topics about Persona clogging things up. All I want is to discuss some HEROIC roleplaying adventures in medieval Germany. Then I found this site, people were saying things that in some places in USA would get you executed via glitterbomb firing squads, there was discussion of classic RPGs, it was love at first sight.
But yes, Darklands really grabbed me when I first saw it as a little baby spider. As a dumb kid I didn't know half of what I was doing but I simply enjoyed playing it and found its presentation gripping, as I got older and understood more and could actually read I began to really appreciate its genius. I love that blend of realism with superstitions come to life. You don't really get that sort of thing explored too often. I'm a huge horror fan so uncovering maniacal evil cults in simple and innocent villages that were trying to commune with devils was fucking rad.
There are many games I could put as contender for my favourite, but Darklands is that one I can romanticize and sing the praises of for a long time.
Games of other genres I'd list as my preferred in its category:
Beat 'em up - Streets of Rage 2, Tower of Doom/Shadow over Mystara (I'll always be down to play this, but I need to be the Elf and that's my only request)
JRPG - Final Fantasy Tactics, Vagrant Story, the original Dragon Warrior. Not "Dragon Quest." The one with all the ye olde English and you had to bring up a menu to use the stairs and shit. If you saw an M. Wyvern you began sweating. The real Dragon Warrior.
Platformer - Super Mario Bros 3
Fighting - Mortal Kombat Trilogy, Street Fighter Alpha 3, Weaponlord (this game has too much testosterone)
Stealth - Thief 1/2, but Dark Project edges Metal Age out just a little bit for me
Puzzle - Intelligent Qube, Devil Dice
Sports - NHL 94, WWF Wrestlemania 2000, NBA Jam, I'm not allowed to play any of these in a room with other humans because my 'competitive spirit' often leads to childish tantrums which results in breakage of personal property.
Strategy - Warcraft 1 and Warcraft 2, Syndicate, Civilization III, Kingdom Under Fire: War of Heroes