Devil May Cry 1 & 3 - Pretty good action games. Don't get Part 2 - it sucks. You don't have to play it to understand the story for the third game.
Silent Hill 2 & 3 - Very good horror games. They're some of the scariest games I've played. They set the mood/atmosphere perfectly, and it also tells a pretty good story, especially 2. Silent Hill 3 is a sequel to the first game, but it recalls the events that happened in the first game. The only thing that may bother you is the camera angles. Don't get Origins - it sucks. SH4 is a mixed-bag.
Onimusha series - Same as Devil May Cry. You can purchase the collection pack for around $20 online. http://www.amazon.com/Onimusha-Essentials-Playstation-2/dp/B001FBJUYK/ref=sr_1_1?ie=UTF8&s=videogames&qid=1254279839&sr=8-1
Digital Devil Saga 1 & 2 - Very good RPGs. They have a great story, and the battle system is pretty fun. Just a warning, it can get difficult. They just got reprinted, so they shouldn't cost as much as they used to. If you enjoy them, then I recommend you move on to the superior RPG - Shin Megami Tensei: Nocturne. They only reason why I recommended Digital Devil Saga instead of Nocturne is because it's more accessible to newcomers.
Yakuza 1 & 2 - very good games. You'll probably have to get them online.
