Some of the best so far:
Arcanum: Wander around not knowing what to do until you decide to ask a passing NPC for directions or read a newspaper.
Arx Fatalis: Ensure an audience with the stubborn goblin king.
Baldur's Gate 1: Kill Drizzt Do'Urden.
Baldur's Gate 2: Obtain Carsomyr, Croem Faeyr and those great items.
Bard's Tale: Fight 4x99 Berserkers.
Chaos Strikes Back: Start in darkness, flanked by two purple worms and try to keep your cool.
Curse of the Azure Bonds: Fight the Mulmaster Beholder Corps.
Daggerfall: Create unique characters bending the game's rules and venture into massive, twisted dungeons without ever knowing if you'll find the way out again.
Dark Souls: You died.
Dark Sun: Shattered Lands: Escape the arena - anyway you can.
Darklands: Sleep in a village, find out that they are all devil worshippers.
Deus Ex: Enter the women's restroom.
Escape from Hell: Recruit Hitler into your party by presenting him with your copy of Mein Kampf.
Fallout 1: Explore The Glow.
Fallout New Vegas: Take Mr. House off life support.
Gothic 1: Refuse to pay protection money to the Old camp guards.
Might & Magic VI: Side with evil, follow an entirely different storyline and transform you mage into a Lich!
Morrowind: Find Caius Cossades.
NWN2: Mask of the Betrayer: Devour the soul of a dead god.
Oblivion: Uninstall.
Planescape: Torment: During a debate about afterlife, kill yourself to prove your point.
Pool of Radiance: Disguise yourselves as monsters and take part in an auciton.
The Dark Heart of Uukrul: Try make a map of the last level
Ultima IV: Realise that you've gotta lose a battle with animals because a Compassionate Avatar does not slay dumb creatures, but neither does the Valorous Avatar run from battle.
Ultima Underworld: Learn the Lizardman's language
Ultima VII: Cast Armageddon.
Vampire: The Masquerade - Bloodlines: Play Malkavian and Nosfe