No particular order:
-Shadow of the Colossus: I had an idea of how this was gonna turn out, but the way things went down surprised me.
-EarthBound: Awesome in every conceivable way.
-Metal Gear Solid 3. Just...that was quite a gutpunch of a plot twist at the end. Before the credits, not after.
-Super Mario World: I'm a sucker for enemy casting calls. XD
-Paper Mario 1: PARADE PARADE PARADE.
-Super Metroid: =( Spoilers:
-Megaman X: One of my favorites as a kid. The final boss setup was absolutely incredible to me, the ending music was great, and Sigma popping up after it all to taunt you really bugged me out at the time.
And if I can think of any others I'll post them later.