I play too many games to pick just one, but here's five contenders:
Dead Rising - Flawed genius
Hitman: Blood Money - Perfection of a brilliant idea
Gears of War - Far richer than I expected
Twilight Princess - Riddled with issues that were solved in previous games, but the new tools are so clever it simply doesn't matter
Xenosaga Episode III - Finally the series got it all right
Okami's not out in Eurpoe yet so I've not played it, but that looks lovely. And by a similar token (i.e. we got it at the start of '06) I would've included Shadow of the Colossus, but i don't want to confuse things.
Don't get me wrong I like Oblivion, it just doesn't do anything genuinely new beyond its bizarre "Speechcraft" conversation mechanic, and the world is too much of a fantasy cliche for my liking.
The Guitar Hero games are neat for sure.