real.geizterfahr: Deus Ex. If you like Deus Ex: Human Revolution, you'll like the first one as well. They feel pretty similar, gameplay wise. And the story is really good.
Whew... I was getting worried that nobody would mention Deus Ex. Honestly, it took 48 posts for someone to say it!?
I just finished playing it for about the 30th time, and I still think it is amazing. I still find new ways to play it, and find different solutions and outcomes to most situations.
Echoing a few more that have been mentioned - Blood and Descent. I had played demos of these back when they came out. I had pretty much forgotten what they were like. I finally played the full games 2 years ago, and had an absolute blast.
System Shock 2 - Again, had only played a demo about 10 years ago. I had hyped up this game so much over the years, I was worried that it would be a let down if I ever played the full game. It was even better than I imagined.
Giants: Citizen Kabuto - Remains fresh. I have never played an FPS even remotely similar to it.
A couple that I haven't seen mentioned here yet...
Tropico - Bought it randomly. I've probably had more fun with this than any managerial sim (except maybe Evil Genius.) It has the perfect level of management for me. I don't want to manage a massive city of one million people, and micro-managing every single citizen/employee can be a bit much for me. Tropico fits perfectly in-between.
Medal of Honor: Allied Assault - IMO, one of, if not
the best straight-action military shooter. Expansions are great too.
edit - sorry if I don't make much sense. I am posting under the influence of some new medications, and am feeling a bit wonky. It took me an hour to write this post.