To avoid the confusion brought by the people that made the "console-exclusive" rule, I'm gonna list my favorite games that are only (or were timed) on the Windows platform...
Doom & Doom 2
Quake & Quake 3
Command & Conquer / C&C: Red Alert
Age of Empires series
Half Life & Half Life 2 (it was PC-only until the MAC and Xbox ports)
Starcraft
Warcraft series (except WoW)
Daikatana... Just kidding