My first and foremost roleplaying game would have to be Empire of the Petal Throne, by Prof. M.A.R. Barker. The first man in my opinion to create a world that was literally awe inspiring. My copy is the TSR edition printed in the 70's, and I still have it, as well as each of the new versions that have been released over the years. It is one of the most intricate and detailed worlds that I have every come across. A timeless classic.
Eureka Miniatures has released figure for Tsolynai and Yan Kor. All very nice, and the figures will eventually grace my shelves.
The second favourite would be Call of Cthulhu. I've enjoyed H.P. Lovecraft for decades, and Chasiom has done the genre well.
My third favourite is Runequest. This is another RPG that has had many incarnations, and like Call of Cthulhu has been well developed.
Other RPG's that I've enjoyed playing in were Top Secret which was run by my old school chum Michael Mulhern. Lots of fun, the fantasy cross over he engineered was brilliant and hilarious. Space Opera, I can't quite remember who ran this, I'm thinking David Kennedy, but I think a number of us ran with the system.