I'd say Suikoden 1 & 2 like others but yes it is very expensive. I have them though

Actually I have 2 copies of Suikoden 2.
Chrono Cross is one of the best RPGs on the system, I had to import it as it has never been released in EU for some reason. Glad I did. Equally Parasite Eve and Valkyrie Profile. (Also never got EU releases :/)
Abe's Odyssey and Abe's Exodus
Dino Crisis and Dino Crisis 2
Alundra is amazing for a Zelda clone. Not so much the second one.
Breath Of Fire 3 - It's a bit plodding and long winded but boy is it good once you get into it.
Front Mission 3
Einhander (No EU release :/)
FF Tactics (No EU release :/)
Xenogears (no EU release :/)
wow looking at it the EU really got shafted for all the really good games during the psx era. Glad I bought that second hand US playstation. Almost all my favourite games from the era I wouldn't have been able to play without it.....
EDIT: Oh and Fear Effect, seriously, nothing like it and the end segment is incredibly powerful.