PS3 - Uncharted 2: Among Thieves
Wii - Super Mario Galaxy
DS - New Super Mario Bros.
PSP - Final Fantasy VII: Crisis Core
I also own a 360, and despite owning more games for that platform that the others combined, I can't pick a favorite exclusive, because honestly, none of them are that good. Gears 1 and 2 were fun for a while but the multiplayer quickly became too broken, Ninja Gaiden 2 is no longer exclusive, and neither is Bioshock. Mass Effect bored me and I feel while it was alright it is criminally overrated, and I don't own ME2. Also, Halo is terrible.
If I had to pick one I'd pick Bioshock because at one point it was exclusive console-wise. It's also my favorite game of the generation, but it's not exclusive anymore.
I buy most multiplatform games on 360 simple because most of my friends own them instead of PS3s. The only multiplat game I have on PS3 is FFXIII, but that was for obvious reasons.
Anyways, that's my spiel on it.







