for me:

BioShock: i remember picking this game up at BB, started playing at around 6pm i got home and just played, there was a point where i just knew i should put it down, i looked at the time and it was 1:30am!!! i had made it all the way to fort frolic!!finishing the game i gave my self i nice pat on the back... i love this game so much

God Of War: all the combat/puzzles/story IMO, i gave myself a HUGE pat on the back finishing this game was really satisfying, huge sense of accomplishment.

Mass Effect: once the story got going i just wanted MORE!!! the side quests were a snooze fest but the main story i havent played anything like it.

MGS4: OMFG!, the only thing that messed it up IMO was the end cinematic, WTF! i think i got up made myself dinner came back and it was STILL ending.

For me, this gen:
Assassin's Creed (although the end could have been better)
Flower (very satisfying, very affecting, too short)
Heavenly Sword (awesome -- very awesome, in fact -- but, like GoW, I was left wanting more)
MGS4 (I wanted more, watched every last second, played it again)
Uncharted (loved this, and was left wishing it hadn't ended)

didn't want to end: FFX/ FF7CC
rewarding: FF7/X/FF7CC/Valkyria Chronicles

How could I forget flower ¬_¬

The Legend of Zelda Majora's Mask- the first time I played this back in 2000 it was a fantastic game. However on another playthrough some years later it became a masterpiece that now ties with Oot as my favorite game of all time. I literally went and did EVERYTHING in the game, ever single little side-quest no matter how small the payoff (which is quite rare for me) because I wanted to make the experiance last as long as possible. OoT and Metroid Prime are other titles that I never wanted to end but there's not much I can say about those two that hasn't alreadly been said.

NIIICE, good one, that reminds me.... TLOZ:OoT EPIC! 4$%^&*( EPIC!!!!

Braid. Completely enchanting throughout, and the last level was a huge OMGWTFBBQ.

I haven't finished it yet, but Flower gives me a similar feeling.

Best ending ever is Super Mario 3. I got to it for the first time and then heard "Sorry, but our princess is in another castle." I was so angry/shocked that after all that, I still hadn't beaten it. Then I saw "Just Kidding" and I was grinning for like the next 15 minutes at how awesome it was.

LoZ: Ocarina of time...there are many more but this one was gave me a good feeling that i beat it and i was upset that it was over

Fallout 3,I couldnt believe it ended.Then I couldnt believe i couldnt play anymore. WTF

Halo 3, not because it was amazing but because it was short and too easy. I thought there was no way it was really done this quickly.

Fallout 3 - Just the fact that it actually ends is bad. I wish you could keep playing after the ending. But great game though.