The Elder Scrolls- it doesnt get anymore complete in immersion and escapism then this. Closest thing to saying a wish and playing it.
Warhammer 40k- All the way from Final Liberation and Chaos Gate to the current Dawn Of War games it always delievers the goods with graphics and gameplay.
Supreme Commander- Loved the highly detailed 2006 original and its expansion aswell as the faster lethal 2009 sequal.
F.E.A.R.- I was amazed and still am at the gritty realism of the 2006 release with its lifelike ai. The sequal also delievers on the spook factor and tension with that classic Monolith signature.
Painkiller- Its like jumping into every horror movie ever made and loving the terror. I have not had this much fun since playing BLOOD in the 1990s.
Other honorable mentions are DOOM, Dragon Age Origins, Quake, Unreal Tournament, Civilization. I would mentioin Fallout 3 but there are no other games in the series so it stands alone in spectacularness