Playing System Shock 2 for the first time (well, actually the second, I tried it once before and gave up after about half-an-hour). It is an amazing game. Survival horror on a personal scale I've never seen before, all thanks to Looking Glass and Irrationals immersive sim approach. It's not as scary as some horrors, but the tension and work involved in just looking after yourself is off the charts.
You are never safe in this game. There's always something out there roaming the halls looking for you, and if that wasn't bad enough you have to worry about your own affairs. Health, energy, toxic and radiation poisoning. Nanites (cash), weapon degradation, complex skill branches, carry space... the list goes on.
They don't make games like this anymore. Thief, Deus Ex and this might just be my holy trinity of games design, and nothing has come close since.