What about of all time?
Well, definitely my favorite game of all time is Legend of Zelda: Ocarina of Time. I just beat that on my stream a few days ago, and the first real 3D RPG beyond SuperMario 64. It was like 1998, and such a good game for the time. It still holds up!
The newest Legend of Zelda is also really good, it's called the Breath of Time.
Growing up, I was also really into rhythm games, so basically all of the Guitar Heroes.
Favorite indie game of all time would probably have to be Firewatch. It's really, really good.