Ricky_Bobby: From GOG's selection it's classic adventure games that work for me: Grim Fandango, Toonstruck, Simon the Sorcerer, The Dig, Sam & Max, and Tex Murphy, Tex Murphy, Tex Murphy.
For me it's quite different: while I DO love adventures (GOG only knows they occupy more than half of my GOG shelves), when I'm in a funk I simply
can't muster the mental strength to solve their puzzles. (I think it's because I need to keep "storing" information about where and what objects are available to me so that I can combine them, but in this state whatever is keeping me down is always coming to my mind and interrupting my memory from commiting the game's information past the short term memory.)
I could, however, play a funny adventure I already completed like Day of the Tentacle, because in this case it's less about using my memory and more of reliving the game's story and dialogues. Much akin to rereading a good book.
Strategy games annoy me when I'm in this state. RPGs might work or not.... I'd be in a great state of mind if I needed to grind, not so much to follow a plot.
FPSs could work, if I were into them. Mindlessly shooting bad guys is bound to be an excellent way to keep your mind off bad stuff.
But what really works for me are open-world games (preferably action oriented). GTA Vice City and Arkham City both did a great job out of it in the past. Just go do whatever mission you want, or absolutely none of them... you're free to do as you like there.
Platformers also do a good job because they're usually action oriented as well. Someone suggested Mario games up above. I approve of their suggestion.