If I had to pick one it'd be the original Deus Ex, with Fallout 2 right behind it.
Honorable mentions:
SNES - Wild Guns, not much to say, it's a simple game with a ridiculous theme, but it's just sooo fun to play.
Commodore 64 - North vs South (my first strategy game, loved every moment of it)
PC - Kohan and its expansions, luckily it still works on the new operating systems and I can still enjoy it, the game's just brutal in terms of difficulty, but I like the lore and gameplay too much to be scared away.
Arcade - Metal Slug 2, this game ate a looooot of my money back in the day, beautiful sprites and great gameplay.
PS 1 - Tekken 3, one of the few games I can still remember from that era. Oh, and Warcraft 2 was much better than its PC edition, screw you APM try-hards.
N64 - Goldeneye tied with Blast Corps, both games were FANTASTIC and I rue the day my power cable died, it's almost impossible to buy a replacement in my area, even through the internet.