Ah, I absolutely loved that game, I must have played it dozens of times. Especially the Bonus Level, Balue's Tower, that was amazing. And oddly, for a kiddie platformer, it had a really good plot too, better than some newer, more 'hardcore' game plots I could name today...
Anyway, my game would be Alter Echo:
I basically picked it up for the PS2 after I saw a friend (who had it on the original Xbox) playing it, wayyyy back at secondary school. Great gameplay with a fairly unique style, lovely art for the time, and again, a great and well-developed plot (and characters too). It's a shame it never had a sequel made, it fully deserved one and had some great plot threads to tie up that would have been perfect for a sequel. Ah well, maybe someone will do a remake in five years or so. That would be good enough for me, I guess...