I think replay value is extremely important in games. It sort of sucks when you realize you never want to play that game you were so excited for again, especially when they're so expensive. I remember my disappointment with the Star Wars Force Unleashed game. I love Star Wars video games, but when I finished this one, I couldn't find a reason to go through it again. The game was too linear, too short, and really had nothing worth revisiting.
But just because a game is short, that doesn't mean it has no replay value. Look at Portal and Left 4 Dead. The L4D games are short. Although, multiplayer is a blast. The campaign never gets boring, either. The Call of Duty games have short single player campaigns, but the multiplayer is one of the best.
Whether the game is long or short, the best feeling is never wanting to leave the world the game created. That's the most important factor to me.
More games with great replay value
Games with little replay value