Morrowind, absolutely. The blend of colonialism, a truly alien fantasy world and the plotline of men turning themselves into gods... it all captivated me so much, and still does when I replay it. When you're walking in a city and see the old architecture mixed with the new Imperial camps and read the dialog about strife between the factions... it just ropes me in every time.
Second one I think of is Fallout, especially 1, 2 and New Vegas as a trilogy. Post-apocalypse is kind of tired, but the kitschy alternate future 50's style vibes are super cool and make it feel unique.
Arcanum mentioned above is a GREAT pick as well. I want to replay that soon, and maybe if I had recently it would be my number one or two. Just such a great mix of fantasy and steampunk, with a soundtrack to match and writing that truly commits to the setting.