Fallout 2 (!!) That game was wonderful, I especially loved New Reno but just in general I loved how much content was packed in there, how much there was to do, how open ended it was, and how interesting the different places and characters were. It's kind of hard to recapture that kind of magic, I mean much of the magic did come from the guys behind Arcanum: Of Steamworks and Magick after all, and they're out of the game.
Baldur's Gate 2. It saddens me to see a great company like BioWare in the iron claws of the Great Devourer of Dreams (EA), they've turned out a couple of good games since then but none can really hold up to Baldur's Gate 2 when it comes to the setting and characters.
Planescape Torment. Another BioWare game, I think. Planescape Torment had a great cast of characters, it was dark and intriguing and full of adventure. I loved it, I still love it...
There just aren't games like these on the market any more. Everything's far too casual and generalized, with few exceptions.