Well, I'm afraid the tag filter UI still leaves a bit to be desired. But, if you visit https://stackexchange.com/filters, you should see - on the right-hand sidebar - a list of all the filters you've created, including
a few of My Favorite Games. Click the "Subscribe" link in the sidebar there, and you'll be back in business.
So... That just leaves the question of what happened here?
Fearing the worst, I dug up the record of your previous subscription to this tag filter, which you created way back on Valentine's Day 2012. Turns out, it was canceled on December 2nd, just a bit less than a day after that last email was sent out.
I pulled the request logs for December 2nd, and heaved a sigh of relief: from the look of things, you'd been reading the aforementioned email in the GMail app on your phone, and must have inadvertently clicked the "unsubscribe" link (both request to the question and to the unsubscribe link show the gmail app as the referrer).
Fortunately, this doesn't do anything to your filter, and you'll be able to resubscribe whenever you please.