Thief 1&2. Why? Three reasons:
* Smart sneaking. If you want, you can totally hack and slash through the levels and make the guards into improvised pincushions with your arrows. Not doing so makes you feel you're outsmarting the enemy. Moving through a manor like a ghost and pinching stuff right under people's noses or from their belts can be incredibly satisfying.
* Non-linearity. There are multiple ways of solving problems: Hmm... two guards at the unlocked front door. Maybe I'll extinguish the torch with a water arrow and sneak past them. Maybe I'll try picking the back door lock while the patrolling guard is away. Maybe I'll shoot a rope arrow into a conveniently placed wooden beam and hop through the window on the second floor.
* First person view. Having to peek around corners to see where the guards are greatly adds to the tension. You literally see the world through your character's eyes.
* Great use of sound. Firstly, the ambient music adds to the experience rather than takes you out of it. Secondly, the sound effects are just right for the occasion: picking a lock open makes a satisfying *click*, while grabbing gold makes a nice greedy *ka-ching*. Thirdly, sound plays an important role in your thieving. If you can't peek around corners, you can just listen to the guards' footsteps and estimate where they are. At the same time, you have to pay attention to how much noise you're making yourself. Lastly, the voice acting is good and doesn't ruin your experience.
* You are in control. Your character does not have stats that make him better at sneaking. It's you who's getting better. It's not only satisfying in and of itself, it also helps to put you into your character's shoes. You case the joint, you plan the heist, you make the getaway. Also, being constantly aware of how visible you are helps you to plan your sneaking and can lead to incredibly intense moments as you teeter on the border of the enemy's perception.
3) Rich universe:
* The world feels alive. The levels are huge and exploration is rewarded. The city is filled with intrigue and politics. A secret order is trying to keep tabs on everything. You have religious fanatics pursuing their goals, supernatural creatures that inhabit the darker corners, corrupt nobles that try to one-up each other. There are inventors building steampunk machinery and necromancers raising the dead.
* Interesting characters. Not only do you have a savvy and cynical anti-hero protagonist, the supporting cast often has a nice backstory. You're not robbing just a crime lord, you're robbing a crime lord that likes to keep pet burricks and is quite particular about getting his meals on time. The servants complain about their chores and gossip about their masters. The guards chat about how the bear fights aren't what they used to be, get drunk and chat up barmaids.
Am I the only one that wanted to immediately open Thief and start playing after reading this?