There's a lot I could say, like especially ones stated, Morrowind, the first game in which I was just overwhelmed by the possibilities, right from the start and played the hell out of it.. Pokemon (original), Dark Souls, Kotor.. Suikoden 2 as my single favorite game, I'd love to play that again for the first time.. But I'd probably say Dead Island first, yeah it dips majorly after the first area, but I haven't played a game in a long time that made such a great first Impression then Dead Island did, just roaming around exploring and moving slowly to not be overwhelmed by Zombies as I waited for my mate to get home to Co-Op, just loved that first area of it..
And Mass Effect, but only if I can replay it knowing how good it is. When I first played it I didn't think it was very good until I finished it; as soon as I set it down I knew it was fantastic.
EDIT: Man, I saw Fallout 3 on someone else's list. That too. (So good...)
Damn, thought this said "Roleplaying."
It's also a toss up between Dragon Age: Origins and Mass Effect, all though both of those improved over time for me, once I became familiar with certain aspects of the games.
Maybe Half Life 2 actually if I can include the episodes as well.
Portal 2 would be a good one too. The atmosphere alone did it for me the first time, man.
If I could add to this topic - a game that you could replay like it was the first time and without spoilers.
I really liked MGS4, but I finished this year ... so I had a fair bit spoiled already. I wish I knew nothing about it.
Ocarina of Time ... the N64 was my first Nintendo console and I hated OOT when I played it first... but over time I started to love it and I'd now say it's my all time favourite game. The 3DS remake only further cemented this fact.
Final Fantasy VII ... people will crucify me for this, but it was my first Final Fantasy (I was a SEGA kid) and I knew nothing about it. What a discovery (I played it the same month as MGS, which I also knew nothing about... what a fucking month that was haha)
Now that i finally have a PS3 again, I have already finished God of War 3 again, and fully intend to invest in the many HD collections Sony have released, which would mean replaying God of War 1 and 2 again, 2 of my favorite PS2 games. I have also recently purchased Final Fantasy VIII and IX in the recent PSN sale.