Off top of my head I can only think of these:
HL2 - 1.7M retail in 2 months (STEAM sales = mystery)
Doom3 - over 1.1M copies sold WW (.plan on Blue's News?)
WoW - 800K US, 300K Europe (Blizzard's PR)
Battlefield 1942 - 1.7M but now it sure is better (DICE said)
Not so sure:
The Longest Journey - 500K (forum talk)
Half-Life 1 - 7M units (???)
Recently this info came out:
Vampire Bloodlines - 75K

ToEE - 125K

(
Arcanum - 245K

((
Sims1+2 - lots.