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Groucho's above post hit a lot of the biggies, I personally enjoyed all of the them listed, though I never played Wild Arms 5. Here are a few others off the top of my head:

God of War 1 & 2 (awesome action adventure games)
Silent Hill 2, 3 and 4 (4 is a little different than 2, 3 but I enjoyed it)
Kingdom Hearts 1 & 2 (re: Chain of Memories comes out this December as well)
Devil May Cry 1 & 3 (2 is good but not nearly as good as 1 and 3)
Rygar (may be hard to find)
Shinobi (may be hard to find and can be quite difficult)
Sly Cooper 1, 2 & 3 (1 is more of a straight platformer 2 & 3 are a little more open-ended)
Zone of the Enders 1 & 2 (They are a little short individually, but together make a great game)
Metal Gear Solid 2 & 3 (Obviously very story driven, but I think its a great story as well as the gameplay)
Soul Calibur 2 & 3; Tekken 5 (All great fighting games)