Fallout: New Vegas. There's a lot of games I favor, and extremely strong games that I'll always replay and have fond memories of, but to me, NV is my favorite game of all time. I say that as someone who's been gaming ever since the NES days, and has dabbled in even older consoles. (Atari, Colecovision, Magnavox Odyssey, etc. My parents owned some old shit back then.)
Amusingly enough in recent years I've grown sick of everything being an open world game. Elden Ring and Tears of the Kingdom basically burned me out on the genre with their massive, bloated worlds with too much to do but not enough actual meaningful content. (in TOTK's case, it being a repeat didn't help.)
The reason I bring this up is that to me, New Vegas struck the perfect balance for being an open world game. The game wasn't bloated for the sake of being 'big', and the world map, while large, was made with purpose. Every location was interesting in it's own way, and copy/pasted locations were very rare, almost bordering on nonexistent. Wherever you went there was always something interesting going on, something new to see, and the world was peppered with easter eggs and little tidbits for anyone willing to explore outside of the game's marked 'important locations' such as 'The One' and the 'Deathclaw Premontory' being some of the more famous ones.
It's also a game that gave you a tremendous amount of liberty and allowed you to pick several resolutions to any quest you undertook, side with any factions you wanted (or none at all) and kill basically anyone you wanted, consequences be damned. (I'm looking at you Bethesda and your hordes of 'essential NPCs')
All of this, and one has to keep in mind, the game was essentially released unfinished and rushed in development. If Obsidian had the proper time to really polish New Vegas, it'd have been even better - Caesar's legion could have been more fleshed out and less comically evil, for example. In a world where NV got the development time it needed, it'd have been better than what we got.
I admit my love for New Vegas is almost fanatical. It's a game I always find myself drawn back to, I've played a lot of mods for it, and still plan to get into others I haven't played yet. (I didn't play The Frontier and I'm not sure I want to.)
Runner up choices for favorite game would be Planescape: Torment, Final Fantasy Tactics and Live A Live.