Currently we're playing a Dark Heresy campaign. If you don't know, that's set in the WH40K universe. But I've never played any miniatures wargames, and I'm trying to play a sociable character, so I'm really not particularly fond of it. That's definitely because of my character, though. For years we played Dungeons & Dragons, and will probably get back into 4th Edition somewhere along the line.
For a few years I've wanted to run a GURPS campaign, but haven't been able to come up with enough good ideas to actually start one. I've tossed around ideas for campaigns during WWII, colonial-era America, and some type of futuristic/sci-fi thing. But the WWII thing always seems a bit too deadly, and having the most withdrawn and silent guy running the game still doesn't seem like a good idea. Plus we've played I think one GURPS adventure so far....
Occasionally we play board games like Arkham Horror, Zombies!!!, Twilight Imperium, things like that. Not enough of us like war games to actually make playing them worthwhile, though. Risk just isn't as fun with only two players.
So it's more of a gaming group than an RPG group, I guess. We just sit around and talk, eat, try to get the cop to agree with some biased logic, and actually play the game occasionally.