As far as exclusives go, here are my recommendations:
Demon's Souls - It is technically a RPG, but it plays like a survival horror/dungeon crawler hybrid.
Metal Gear Solid 4 - Very heavy on the story, but if you pay attention, its pretty good, especially if you've played the previous games.
Resistance: Fall of Man or Killzone 2 - both good FPS. Only play Resistance 2 if you enjoyed the first one.
Ratchet and Clank Future: Tools of Destruction & A Crack in Time. Tools of Destruction is a little better, imo, but they're both great games.
Also, I recommend Bioshock. Its not an exclusive, but its one of the best games in a long time. If you haven't played it, you definitely should.