WWF No Mercy is my favorite. I could play that game for hours, it was so much fun and it had a solid roster of superstars to choose from. HCTP is another good one, I really enjoyed the season mode on that one. I played as Brock Lesnar and dominated everyone as the champion and had my own stable with Big Show and a few other dudes, but eventually Big Show and the other guys turned on me. I also liked doing backstage brawls and using Undertaker's motorcycle, and just dragging dudes around while I rode it.
If we're going really old school, then WWF Raw for the SNES was a pretty great game to play back in the day. As was Wrestlemania for the SNES, and Wrestlemania2k on the N64.