While I once loved getting splat books, monster books, and various other supplements, with age and much more limited time to game I've come to appreciate the merits of streamlining and simplicity in my games. I also really like having everything in just one book, if at all possible. To me, that's the main appeal of something like Advanced Labyrinth Lord, despite its poor formatting, uneven artwork, low quality binding, and organizational problems. I still have everything I need to play or design in just one book. The old BECMI Rules Compendium also fits the bill here.
I understand in many cases that the business model lends itself to spreading things out, but I find it annoying when new classes, weapons, monsters etc. are added in supplements as a way to encourage (force) players & GMs alike to keep buying more product. The exception, of course, would be adventure modules.
So what are some of your favorite games/systems that keep everything together in one volume, however large, without all the splat books and bloat?