Golden Eye on the N64 was awesome. I remember buying it in secret and having to play it with the volume on very low or no volume at all.
Red Dead Redemption. A free roaming Wild West game. I've yet to play the second installment of this as I no longer own a console.
Grand Theft Auto IV. A game my ex-brother in law and I enjoyed while still JWs and used to help eachother out on certain bits but never mentioned it to the brothers in the congregation. I remember even my then-wife used to enjoy going with the hookers then beating them up and taking the money back!
Civilization 4. You start as stone age people on a patch of land then gradually the map grows and your society evolves into modern day. Depending on the choices you make depends on the politics you end up. I once ended up with Facism! (Well, I learned from the best I guess?)