There are tons. The game that I considered my first "proper" game was World of Xeen. It's phenomenal. And it's actually two games. Might and Magic IV: Clouds of Xeen and Might and Magic V: Darkside of Xeen. When you combined them you could travel between the two sides of the flat world and had more quests to solve and an ultimate end.
It was always hard to make space for them even though we had a gigantic 250 MB hard drive. Each game took up 20-30 MB.
Edit: Other must haves: Jazz Jackrabbit, Commander Keen, Doom, Quake, Monkey Island, Day of the Tentacle, Indiana Jones and the Fate of Atlantis