I have a couple of recommendations I can make, though whether they're "must have" is completely a matter of opinion:
If you love baseball games, give the Pro Yakyuu Spirits series a shot. Fun game that is made by the same people behind the Power Pros series. You might need a translation guide for the career mode and stuff, but it's a solid baseball series in terms of gameplay.
One game I just imported was Mobile Suit Gundam Extreme VS. Very fun mech/fighter game that really doesn't require for you to be a fan of the series. I've never even watched it and find this game to be an absolute blast to play.
If you like fighting games, Arcana Heart 3 is a good one to import. In fact, last time I checked you could import the European release of it for cheaper than the PSN price. It's certainly a unique and fun fighting game.
Everything else is just based on taste. I've imported a few racing games, a cricket game, that Siren game only available here on PSN... It depends all in what interest you.