Arkham Horror is one of my favorite first-time experiences because you're so powerless it feels like a Lovecraft story.  A couple other board games I would suggest would be the Red Dragon Inn games, as well as Quarriors.  They are terrific party games!

I have been thoroughly impressed with the FPS game. A friend purchased it for me for Christmas. While how a woman could even earn the shawl while barely being able to channel without ter'angreal makes no sense, the system is fast, and I had some girl-squealing moments while running away from Mashadar in Shadar Logoth. Mind you, Amnesia didn't really affect me, lol.

As an aside, the 3rd edition 2001 WoT D&D RPG isn't bad. I've made alterations to it as needed, but the magic system is surprisingly solid and makes sense better than just about any other I've read. I'm DM'ing a campaign with a few friends now, and the party recently split in three directions.