Must-buys are No One Lives Forever 1 and 2, System Shock 2, that Half-Life pack that brings the game and all its mods (each single one of these FPS's will have you saying "Halo who?"), Planescape: Torment (which was already mentioned, sue me), StarCraft and Fallout. Not Fallout 2 or Fallout Tactics, but the original Fallout. Hard to decide between it and P:T as the best PC RPG I've ever played.
There's lots of old stuff to catch up on, too... I'll try to keep to stuff that's easy to install:
X-Wing Alliance
Freespace 1 and 2
Ah, screw it. I don't know how these run on XP. Get the Monkey Island series (if you can find that free Monkey Madness CD that was a mail-in, you can play them 1 and 2 on Windows easy, 3 and 4 are no problem), the Star Wars flight "sims" (X-wing CD Collector's Edition, Tie Fighter CD Collector's Edition)
Um, tons of other shit. The Blade Runner adventure game by Westwood, C&C 2: Red Alert (classic), and tons more.
