It changes a lot over the years. First it was Kingdom Hearts, because I'd never played a game that felt so large-scale before then- The world was also really detailed and the environments were small and tight, sort of like an adventure game. Everything about the way that game was built stayed with me in my future work.
Then it was Psychonauts, which apart from having really great, imaginative worlds, had such great writing. The plot moved forward because of the characters, not because it "had to", as was often the case with the games I played before then. There was no filler, either, and it was completely unpredictable and weird not only in terms of story, but the layout of hub worlds/collectables/quests etc. That game really showed me what games were capable of and pretty much changed everything for me.
After that, I got into indie games out of a desire to see just how much story you could cram within a small game. Iji & Cave Story were the games that represented that ideal to me the most.
Nowadays I can't pick one. It's often things I can just pick up and play whenever I feel like it. Skullgirls, Nuclear Throne, Downwell, and so on.