I really liked Rock of Ages. Seems nobody plays multiplayer, ever. It's sad, really, it's a fun game.
I am loving Pixeljunk Shooter. If you guys mean Playstation exclusive, then it has to be Crash Bash. I had so many great times playing it with my friends. In fact, it was the game that I play at my first sleep over. Me and my friend were playing it into the wee hours of the day, no regrets, most fun party game ever, even beats out Mario Party.
My favourite game that no one has heard about is Vandal Hearts: Flames of Judgment! It's a RPG game and it's pretty similar to Final Fantasy. You complete quests and such. I spent hours upon hours playing that game, absolutely worth the money!
I loved the Gex Series that was released on the original Playstation, specificially Gex 3: Deep Cover Gecko.
A platformer developed by Crystal Dynamics, who've made other great games like Legacy of Kain and the Tomb Raider series, found a special place in my heart when I was able to play a karate kicking Gecko who travels through the channels of television.
I loved the humor in the game and how the game parodies every possible television culture that was reasonable and more references than you could handle. An attractive live-action "actress" didn't hurt either.