Well, as posted in the "What are you playing" thread: Dark Messiah of Might and Magic. In my opinion a far better game than reviews might lead you to believe, and with an interesting story on top of that.
Vampire: The Masquerade - Bloodlines would also go on my list. In this case, the game was terribly bugged, and has since been fixed with unofficial patches. It may lack polish, but the intense atmosphere and story make it easily one of my favorite games, period.
Those are just two games I think are fantastic but underrated. If I included games that are in some way flawed, but still entertaining and underrated, the list would get a lot longer.
+1. Great game... clever, challenging, each playthorugh can be a completely different experience and the haunted house section is still one of my favourite levels ever made.
Jagged Alliance 2. I will orally pleasure this game from now til the end of eternity. A decent game on its own, but once the modders got their hands on it, it became a great game. I love it, though it's good luck getting other people to play it.
Another +1. Incredibly challenging but never frustrating. I have a horrible feeling that "Back in Action" is going to be an absolute waste of the series.
I have me a list:
Phantom Crash (Xbox)
Radiata Stories (PS2)
Zone of the Enders (PS2)
+1. One of my favourite platformers. Gameplay isn't always the greatest but the plot and world make up for it.
Metro 2033. It's a totally underrated game and a real cerebral experience of a shooter.
Fortunately, it does seem to have gotten enough support for a sequel. Don't look at me like that Beyond Good & Evil's getting one too.
+1. A little linear for my tastes but a really good game.
My own suggestions:
Dark Reign: One of the better second gen of Command and Conquer clones that came out that had the bad timing to be released just before Total Annihilation.
Arcanum: Made by the same people who made Bloodlines but in a more traditional isometric perspective. Fairly original steampunk/fantasy world, pretty poor combat but brilliant plot, character creation, choices and consequences and multiple builds and play styles.
Unreal: A pretty decent FPS that came out around Halflife... and not surprisingly got blown away by it.
Stalker (the entire series): Truly brilliant FPS survival shooter/horror with RPG elements. 3 games came out in fairly short succession which can confuse the issue, some of them are quite bugged but still perfectly playable and, as if often the way, once the modders sorted them out they're incredible.
Alpha Protocol: Yes it's bugged. Yes, the shooting mechanics need some serious tweaking. Yes it shows all that's wrong with Obsidian. It also shows all that's right with them. Brilliant dialogue system, huge amounts of choices and consequences, some great characters, an original setting and plot, massive amounts of choices and consequences. I didn't find most of the bugs gamebreaking and I think it often gets written off far too much. Suffers due to lack of support for modders... along with Bloodlines probably defines the term "flawed genius" for action RPGs.
Morrowind: Well regarded at the time but now most people look back on it as simply an inferior Oblivion. It more than stands up to its bigger brother and in my opinion surpasses it, especially as Bethesda were fairly friendly to the mod community at the time before the realised the money spinner that DLC could be (see Horse Armour).
Rome: Total War: Again, well regarded at the time but the vanilla version stands up to to every single vanilla release of a Total War game since. Basically redefined the series, didn't have the AI and balancing bugs/issues that crippled later releases (I'm looking at you specifically Empire) and the fact that the series was brought back closer to this by Shogun 2 suggests the developers understood this as well.
Heroes of Might and Magic 2 (with expansions): Still my favourite of the series. Tactical yet simple, deep but fun, clever yet easy to pick up. Probably the height of the series and something they have never quite managed to capture since. Honorary mention for the original Kings Bounty, which did many of the same things with a deeper RPG/wandering mercenary feel
as opposed to being an all seeing God-king.