My favourite game of all time? HAS to be Drawn to Life on the Nintendo DS! The story was amazing, characters were likeable and you got to control your own hero that you drew. As a Nintendo DS game, they really utilised the Touchscreen, gave the users plenty of customisation and is safe to say one of the few games I fully completed! I was a little too young however to get the outro bit, but that game definitely stays firm as one of the best I ever played.
My favorite is definitely Mass Effect and Dragon Age, Bioware is an amazing company and would highly recommend their games if you like an immersive rpg