This is a hard one; PS3 is one of my all-time favourite consoles.
Ultimately though, I think I'd have to go with Bioshock.
From it's unforgettable setting, to its visceral combat, to its compelling story, it's a triumph of game design and one of the finest video games ever made.
Honourable mentions go to Bioshock Infinite, The Last of Us, and Uncharted 2.