This one's hard. I can think of at least ten games that I would never part with. When the house catches fire, these aforementioned video games (and their respective systems) go with me.
After a bit of thought, perhaps I would choose a game I do not (technically) own-Metroid Prime Trilogy for the Wii. Reason being, Metroid Prime and Metroid Prime 2: Echoes are two of my favorite games of all time, (both of them easily making my top five) and Corruption is still a great game. I own all three games individually, but if I was stuck on a desert island, I might take this "game" because then I'd have three games to play!
