Oh, this was hard for me to decide, though I think I'll go with KotOR II. Sure the game didn't have a satisfying ending but even without that I'd say that I liked the story alot more than the first game. TSL also improved the gameplay and allowed more customization and fixed some of my problems with the first game (My level 20 Jedi could actually HIT things!).
Honorable mention goes to Fable TLC, Republic Commando, Rainbow Six 3, Crimson Skies, Jade Empire, Otogi, Deus Ex: Invisible War, and Metal Arms: Glitch in the System. I know that some of those weren't exclusive but dammit I love them anyway, and Metal Arms really needs a sequel.