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For me, I have to say first and foremost the game must be FUN. Following that, it must also be challenging. Sometimes the challenge is also part of what makes the game fun!
Fun, for me, can be had in a variety of ways depending on the game. Examples:
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TLR:
Devil May Cry because it demands you be "stylish" with your combos and mixes up the enemies per battle to demand a different approach each time. Also because it's really quite challenging, and has a good sense of humour.
Co-op games more because it leads to hilarious situations in game and generally exchange of friendly banter between you and your partners if you're playing locally with friends. Examples were Army of Two, Rainbow Six Vegas 2 and Lost Planet 2. Also Splinter Cell: Conviction's co-op side story, now that I think of it.
Hilarity or Absurdity in a game is part of what may make a game fun for me. Examples were Gmod and No More Heroes. Also anything with a fun physics and/or destruction engine a la Red Faction Guerilla or Battlefield: Bad Company 2.
Holy Shit Quotient or how many times you say "holy shit" over the course of the game. For me, this usually means the game is fun because it involves fighting - and beating - humongous bosses with your tiny character. Examples were Shadow of the Colossus and Armored Core: For Answer
Overcoming the game's difficulty makes a game fun for me too. Example was Dark Souls - the things that curb stomp you at the beginning can all be flattened by you later after you become more skilled at the game and level your character.
And finally, Character Customization. Being able to customize my character to fit any role I choose is a good selling point for me, especially if there's absurd options available. Mount & Blade was this one's example.
The more features mentioned above that a game contains, the better IMO. A game that combines hilarity/absurdity, local co-op, a fun physics engine, HSQ, extensive character customization and at least a decent challenge would be a welcome addition to my collection. I'm thinking a combination between Dark Souls and Red Faction Guerilla with drop-in co-op and a writer with a sense of humour.
Which brings me to another point I would like to drag up here, "feeling" with the character you are playing with, running alone in a grim world filled with monsters, and the only living humans there do not give a shit about you.
I may be wrong here, but yeah, felt lonely in that game.
But...
multiplayer games are more awesome if u play against people which should be better then u.
This is kind of an odd point for me, myself. If I go and put myself on online multiplayer and get absolutely roflstomped constantly by everyone, I'll get frustrated and think the game isn't fun at all.
HOWEVER it does become more fun if I persist with determination and eventually work my way up through all the difficulty so that in the end I, myself am the one doing the roflstomping.
Not to mention how hilariously fun/rewarding it is to actually kill someone who has been stomping your ass the whole round. Bonus points if you did it in an underhanded way.