Being an Amiga kid I have to go with a Psygnosis collection.
They developed and published some great games beyond Lemmings with stunning graphics and music for the time.
Shadow of the Beast, Blood Money, Wipeout, Colony Wars, Agony, Armour-Geddon.
This list will probably change by time I've posted it, but right its:
Speedball 2: Brutal Deluxe (Amiga)
Metal Gear Solid (PS1)
Grand Theft Auto: Vice City (PS2)
Silent Hill 2 (PS2)
Donkey Kong Country Returns (Will)