Super Mario Galaxy. It's the only game of any length that I've been able to play all the way through multiple times without losing interest or getting too frustrated.

Runner up: Picross DS, which I still haven't finished after seemingly countless hours.

Europa Universalis

@Slash

Play level? Would that be the God status? At what number are you ranked in the world right now?

Didn't think of that.  Probably the wisest decision.

Oh yeah..for me it would have to be a fight between Pokemon D/P and the Monster Hunter games. But since the topic is one game and not a series, then I'll have to choose Monster Hunter 3 (even though it is nowhere near finished yet).

Tie between Majora's Mask and Super Mario Bros.

If I get only one : Starcraft : Brood War (campaign + online)
Others that I could play forever : Super Smash Brothers Brawl, Mario Kart Wii and Diablo II.

final fantasy VII or pes2009

i can't believe nobody has said wii fit besides me.

keep in mind, if you say an online game, you have to go by how many other people would say said online game otherwise you would have no one to play with :p