I know the term “first party” is rather loose when it comes to exclusives so if they count it’ll have to be either Demon Souls or Bloodborne. Demon Soul is the only game I’ve ever imported all the way back in ‘09 and a game that fundamentally changed my game taste and started my love for souls/soulslikes. Bloodborne took the souls formula and elevated it to a level that no souls or soulslike has ever come close to. 

If those don’t count then I’d have to say Uncharted 4. I was never a PS fan during the PS1/2 era but became  invested into Sonys first party when they started leaning more to the big budget story driven games during the PS3 era and I think UC4 does it better than anything else they’ve produced. I loved how grounded it was unlike the previous games. Definitely a game I can always return too and happily replay. 

Ape Escape 2. Its a game full of personality:
Unique controls, unique game style, good level design, challeging puzzles and a charming atmosphere. Many things to collect and discover. Every gadget that you unlock increases the satisfaction in completing the levels. There isnt a single and/or small part of this game that I consider lame
It really stands itself, making a unique experience despite being the second of the franchise.

Edit: Meant to say Ape Escape 2 since the begining, I prefer that game way more than 3

My top 3 in no particular order are Shadow of the Colossus, Bloodborne, and Crash Team Racing.

Not far behind:
Ico, The Last of Us, Unchared 2, and Gran Turismo 3.

The Legend of Dragoon, the thread.

Uncharted 2 takes it for me as well, it's just such a perfectly paced rollercoaster with some of the greatest setpieces in gaming to this day.

Ratchet and Clank 1
Close second Jak and Daxter and Ratchet and Clank 2
I'm not including Crash and Spyro since they were never 1st Party.

yeah this is the exact thread I’ve been looking for. Seeing so many suggesting Jak & Daxter, Ratchet & Clank, Pico, Sly Cooper… I hope to give those games the time of day someday. As for me? As much as I love TLoU:Pt1…it’s way too violent. That said, I’m going with Crash N’Sane Trilogy. (Though if Crash isn’t first-party, then…I guess that leaves Astro Bot as the only option lol. I haven’t played any other PS first-party games.)

Difficult
Sony made so many great games.
I think ratchet and clank 2

Bloodborne.

If you think TLoU is way too violent you will have a hard time with Part 2.