Glad to find DOS players around here!
First DOS I recall playing was Moonstone.. sure the game was bit short but I still think it is perfectly balanced offering a challenge even for a beginner and experienced player alike. Also those brutal endings are still amusing :P
My ultimate favourite must be the XCOM UFO: enemy unknown.. I still play it from time to time... I hope they dont screw up the remake too badly. Some other games that I enjoy are Doom & Lemmings.
I should remember more games (I spent awhile playing DOS..) but that is all that comes to my mind right now