Start with Uncharted 1 and 2, you will realize right away how good of a purchase you just made. (note you could jump to pt 2 since it's superior but I loved the first as well)
Then consider any of the following:
Killzone 2 - so-so story, but hot damn the visuals are amazing and gameplay is decent
Bioshock - my favorite game this gen. Haunting atmosphere, really cool gameplay elements, excellent storytelling
Mass Effect 2 - My second favorite game this gen. This one is a shooter/RPG hybrid though and it will probably take around 30-40 hours to complete, but it's worth playing eventually.
Heavy Rain - The most unique game I've played this gen. Most either love it or hate it. I felt immersed in the story, and I really liked the QTE (quick time event) gameplay. Try the demo and see if it's your thing