Assuming Halo is your first.
If it isn't, then what is your favourite, and/or third favourite? If you can order such an amorphous topic like that.
Five years ago, it would have been BioShock or Half-Life. But then I played Myst: it's a first-person point-and-click puzzle-adventure from 1993, with pre-rendered screens and animations rather than a truly 3D world. Sounds archaic as -blam!-, and it is, but that's part of why it's a joy to play. You won't find anything on the market like this today, and the marriage of art, music, atmosphere and gameplay are near sublime. The puzzles are easily the best in gaming I've ever played.
Myst as a series spans six games, up until Myst V: End of Ages in 2005.
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Zelda is no.1