I thought games using the Doom 3 engine had amazing lighting. And FEAR 1 was amazing too.
Generally I feel the more photorealistic games have gotten, the less impressive lighting itself looks cause it's more about the overall package and lighting is now almost more restricted because it has to adhere to that photorealistic look.
Though I think the game that looked the most visually appealing to me with its use of lighting was the original Quake. Just such an amazing atmosphere altogether.