lol the list posted by @kain_kusanagi is not first-party... just because Microsoft or Sony published some third-party game doesn't make it first-party.
MS First-party: Halo, ilomilo, Forza Motorsport, The Gunstringer, LocoCycle, South Park Let's Go Tower Defense Play!, South Park: Tenorman's Revenge, Avatar Kinect, Kinect Adventures, Kinect Fun Labs, Kinect Sports, Fable, Black & White, Banjo-Kazooie, Viva Piñata, Perfect Dark, Kinect Sesame Street TV, Joy Ride.
Thats all... Gears is not first-party.
Sony First-party titles: Ape Escape, Siren, LocoRoco, Patapon, Ico, Shadow of the Colossus, The Last Guardian, Gran Turismo, Tourist Trophy, Jak and Daxter, Uncharted, The Last of Us, Crash Bandicoot, Kinetica, God of War, PlayStation All-Stars Battle Royale, MLB: The Show, ModNation Racers, Syphon Filter, Resistance: Retribution, Uncharted: Golden Abyss, Sly Cooper, Infamous, SingStar, EyeToy, PlayStation Home, MediEvil, Killzone, World Rally Championship, MotorStorm, LittleBigPlanet.
Plus Sony have second-party games (Ratchet & Clank, Resistance, Spyro The Dragon, Daxter, Starhawk, Twisted Metal, Heavy Rain, Beyond: Two Souls, etc etc etc)... Microsoft not.
