Well originally it was Metal Gear Solid and Final Fantasy, and to an extent Resident Evil. for me those games defined gaming. then it moved into PS2 and for the same reasons, and God of War. but its not just that its the quality they offer. loyally to Sony for me comes from the more mature, core games they established in the PS1 era, okay they did it with 3rd party support, but they revolutionised gaming as we know it.
i wont support Microsoft because of Windows, and i think they've proved me right because of RROD, external WiFi adapters and other expenses.
in a way this console war has been good for Sony, in the PS1, PS2 era, FF, MGS, GT, GTA dominated the sales, even games like Jak and Daxtar, God of War, Legend of Dragoon, etc, could never establish themselves as big players because they were far overshadowed by the huge 3rd party offerings. now things have changed and PS3 is know for the incredible 1st party support. and theres free online, cool trophies and the best is yet to come with HD remasterings of Team Ico games, Sly, etc.