It's a game that can give you dry-mouth from just gawking at how incredible everything looks, the sense of scale being utterly astounding in places. I played it for the very first time in January this year, having only joined the VR-scape back in November when I bought my Quest (specifically so that I could play Alyx), and of the many, many VR games that I've played it was without question not just the best VR game, but one of the most engrossing experiences I've ever had within gaming. It's an Oculus exclusive but you can use Revive to play it easily*.
Now that Alyx has released and to all intents and purposes appears to be a success, I just wanted to flag that three years ago developer Ready At Dawn made a VR masterpiece called Lone Echo and if you value good writing, characters, immersion, and puzzle-solving, then Lone Echo is a truly incredible experience worth playing today.