Gears of War, Metal Gear Solid 4, and to a lesser extent Mass Effect. I'm sure those would have been able to sell on other platforms (PC/360/PS3). Granted in the long-run what those developers did may have been the right thing to do.
With respect to the 360, if Gears and Mass Effect were released on the PS3, then IMO it would have been a significant blow to the platform's sales. Third party developers want a competitive market too, so in the long-run if their 'exclusive' support helped to establish a healthy market for their games to be released on then it's well worth it.
The same goes for the PS3 with Metal Gear Solid 4, I remember many proclaiming it to the reason to own a Playstation, one of the first must have titles. I'm not sure how much longer the next big exclusive PS3 was from release, but the sooner the better no doubt.
