Even though this was not the first game I have ever played, it is the game that always stood out the most for me.
The humor of the game was hilarious and the characters were quirky. I still remember the first time I played as Paco, the depressed super hero with absolutely gigantic fists and thinking how great the characters in the game are. Also, how I tried doing all the side quests and explored every inch of the worlds just to get hold of some extra bit of Mystech. And don't get me started on how awesome the worlds were!
Anachronox was one of those games were I played for hours without needing to take a break, just because of it's awesome story telling and gameplay.
I recently found the game on GOG, and I must admit, it ages surprisingly well. I am currently playing it again just to bring back more of those good old memories.