Oblivion. It has everything. By far the best game ever.
Other notable all time great are:
Age of Empires II
Warlords II
Return to Castle Wolfenstein/Enemy Territory
Kameo
Dark Forces II: Jedi Knight
Dark Age of Camelot
Conquests of Camelot
Boulder Dash
Gabriel Knight: The beast from within
There are so many... but Oblivion rules.