Heroes of Might and Magic 3 is one that instantly comes to mind. It surprisingly still has a very active competitive playerbase, mostly comprised of slavs that have been playing it since they could read words on a computer screen. Another one that I've personally can't stop playing, is the first Warhammer 40K:Dawn of War game with it's expansions and mods. It's just so good, and I wish a modern version with a modern engine could be made. I don't trust Relic to do that tho.

Other than that, there's a myriad of old console and arcade games that are still excellent. Super Metroid, SEGA Rally, shmups like Dodonpachi and Mushihimesama, Street Fighter 3: 3rd Strike... there are really way too many to count.