Metal gear series (Somewhat difficult though, but definitely fun. My personal favorite.)
Hitman Series
Thief (Never played them myself)
Dishonored (Can go on a murder rampage)
Far cry 3 (Sorta. Rewards you if you use stealth, AI has auto locking if you get detected though)
Deus Ex
Metro (Full blown combat will get you killed. Game punishes you if you aren't stealthy)
Lots of games really, though these are ones ive played/know are stealth and are half decent.