Without a doubt my first most major epic game was Star Con II (http://en.wikipedia.org/wiki/Star_Control_II)
It was a story, an action game, a novel, and different depending on how you play. It was amazing.
For modern games I would say, Halo: Reach. It was the first Halo game I played all the way through. It was so complete that I just felt like a friend had died when I finished. I just sat there staring at all the credits. I really connected and felt like a huge fight/campaign/adventure was over.