I think, that it is GTA San Andreas. Even though I did finish it only once (storyline), I certainly did start it playing from the beginning many, many times, and enjoyed the game during the missions. First time I played is maybe 2005.
Few others, which fall a little behind:
Gothic III
The Witcher I, I did play it in Czech, then in English, Polish, and I have a lot of good memories, the way of battles, good story, dialogues, good atmospherics, i simply love it.
Pokemon Gold edition is also worth mentioning. Due to my lack of knowledge of languages in my elementary school days, I did not understand nearly anything, so it happened to me many times, that I was stuck, did not know, what to do, and after a long time, I happened to beat this obstacle, move forward, and finally stuck again, until I finally finished the game for the first time. Because of so much time spent on this game, I very rarely lose, because I play it always the same time-proven way, and if I lose, it is just one or two losses between start and finish.
Pokemon Red is similar, but I played it a bit less.
I spent a lot of time playing also few other games, but I doubt, that any other will be close to these.