Deus Ex all the way. Well, with System Shock 2 right behind it, with STALKER riding it's coattails.
Borderlands is fun but nowhere near that level.
Fallout 3 is also very good, and perhaps it's because it was too sandbox, but it just didn't manage anything like the central narrative Deus Ex or System Shock 2 had.
I suppose Bioshock was okay too, but for me it was way to light on the RPG and was basically an attempt to keep the feel of System Shock 2 but make it way more accessible and FPS orientated. They did a pretty decent job, but I felt it lost just a little too much from the RPG side.
Try to be reasonable... its easier than you think...