This is right up my alley <3 I'll mention just a few though, don't have much time on me:
Dragon Quest VIII: Journey of the Cursed King, classy RPG from Enix's Dragon Quest saga, the first to show up in cel-shaded, fully 3D real-time graphics. The story is simple and fun to follow, the world is wide open for exploration, each and every single character receives a unique and bizarre modeling (by the hand of DBZ manga artist Akira Toriyama) and it's free from the pulpy, convoluted nonsense of Final Fantasy games.
Killer7, Goichi Suda's magnum opus for Grasshopper Manufacture. A spy fiction, on-rails shooter that switches between 1st n 3rd person perspective about a team of seven assassins (really seven personas of a single person) battling asplosive terrorists called Heaven's Smiles. The style goes from pulp to noir to manga - russian roulette fights, Mexican stand-offs, weirdo cultist ranches, unfathomable conspiracy plots... you get the picture.
Mercenaries: Playground of Destruction, a wide open, free roaming sandbox set in war-torn North Korea (AKA, "GTA with tanks and air-strikes"). You're a merc playing factions for cash - the Allies, the Chinese, the South Korean and the Russian Mafia (who will parachute weapon caches, tanks and air-strikes for you). Storyline missions are fun, but capturing bounties alive and extracting them via chopper takes the cake.
Okami, a lovely action-adventure game ala Zelda whose plot borrows after Shintoism and the art direction takes after Japenese ink-painting and water-coloring. I love a game where the core mechanic meshes nicely with both combat and puzzle-solving, and in this case you get the Celestial Brush, which lets you freeze the screen and scribble on it to summon elementary magic, slash across enemies or simply make dead nature bloom.
Prince of Persia: Sands of Time:[/b), the rise of stylish parkour and time-manipulating mechanics in video gaming. Combat can get a bit repetitive because the Prince is so awesome at it and you want to boil it down to the same two maneuvers over and over. Other than that, the game is nothing short of spectacular and comes with two sequels - the darker and edgier Warrior Within and the revamped Two Thrones.
Resident Evil 4, the descent of survival horror into action-adventure with cam-over-the-shoulder 3rd person kind of perspective and immersive combat that lets you single out enemies and body parts like no Resident Evil before it. Fun gameplay and funnier (campy) story.
Shadow of the Colossus, a strong case of games-are-art. Boiled down to its bare bones, it's a 16-colossi boss rush, sparsed throughout a wide open sandbox free of loading times. Tracking, waking, climbing, clinging and stabbing each colossus in its unique spot/s and bringing it down while triumphant music trumpets in the background brings one epic moment after another. The storytelling is minimalistic but there's a lot to flesh out reading between lines.
Silent Hill 2, the defining survival horror game everybody loves to bring up whenever Best Story Ever is discussed around video games (also another strong case of games-are-art). The games hits all the right notes - discretion over gore, subtletly over jump scares, depression and anxiety over simple fright.
Tales of the Abyss, a JRPG of Namco's Tales series. As with every other JRPG, the world is at stake (countries are literally sinking into hell one at a time while war rages on) but the real charm in the game is protagonist Luke and the incredible character arc he goes through (coupled with the rest of the party and their interactions). Two other pluses: combat is not turn-based, nor does it pend on random encounters.