Metroid (1986/87) felt like nothing else on the system: lonely, eerie, and open. No hand-holding, no straight line; just the alien depths of Zebes and a series of locked doors waiting for an upgrade you hadn't found yet.
It's half the namesake of the entire "Metroidvania" genre: explore, hit a wall, find the morph ball or the missiles, double back, open the world a little wider. The password system stood in for saves, and trading codes was its own playground ride.
And of course, finish it fast enough and the armored bounty hunter Samus Aran takes off the helmet. In 1986, that reveal landed like a thunderclap. The atmosphere is what stuck with me: cold, quiet, and a little bit scary.