My current favourite is AvPII.
Of all time? . . . maybe NOLF II (except it was pretty easy) . . .
I'd consider HL except 1/3rd - Xen - positively sucked . . .
I really like HL "Opposing Forces" (and the ending Boss was "memorable") - If it wasn't so short, this might have my vote.
Deus Ex was brilliant but FRUSTRATING . . . I wanted to cheat as I got TIRED running from one extreme of a map and back and forth and back and forth and . . . Seemingly unlinear (but not so).
Same with Thief II - frustrating having to remember the exact ORDER in which you picked something up so as to return it in the same order.
Max Payne . . . flawed masterpiece - yet the pinnacle of it's genre. Extraordinarily linear.
Serious Sam (both) . . . mindless shooter fun lacking story . . .
Alice by American McGee - Awesome crafted levels - an unbelievable QIII modified engine - and storyline but ultimately "hack and slash".
MDKII - Wicked humor, great weapons but ultimately too platformish.
I don't have ONE.