Ask me this about two years ago and I would have told you Mass Effect, but that isn't true anymore.
Ask me this now and the answer isn't so clear cut. I have been a long time fan of the Myst and Zelda series of games, but I have since played games that actually play so much better. The Batman Arkham games namely, but Myst and Zelda hold a nostalgic appeal that just cannot be beat.
So in terms of which games are the most fun to play? Batman Arkham City and Asylum, in that order. Favorite game, though? Well, I can't narrow it down so I guess I'll have to go with all three
Major Honorable Mention has to go to Bioshock Infinite. That game is whole worlds of awesome both in terms of gameplay and storytelling. Infinite is practically neck and neck with Arkham, but overall Arkham continues to appeal to me more.