My all time favorite is
Utawarerumono. It just has a perfect combination of story, characters, artworks, and even gameplay to my likes. It would have been a perfect game only if it had voice...
Then my favorite genre is the darker action adventures like
Tsukihime,
Fate / Stay Night,
Demon Bane, and
Phantom of Inferno. I also recently played a demo of a game called
Paradise Lost; thought it was awesome.
And some of the classics I loved are:
Dragon Knight 4, Eve Burst Error. Kizuato, Moon, Wordsworth, Toujin Toshi 2