Eternal Darkness.
Regardless of much critical love the game got, it was totally underappreciated by the majority of gamers and bombed in terms of sales. In my honest opinion, it was the best horror game out of the last generation. The game screwed with your head like no other short of maybe Psycho Mantis is Metal Gear Solid, which is probably what lead Silicon Knights to landing Metal Gear Solid: Twin Snakes for the cube. On the negative, Silicon Knights did have some pretty crappy character models. Twin Snakes suffered from that as well, although Konami did help them out with that, it still didn't turn out as it good as it could have.
It's also probably one of the games that lead Nintendo to veering away from Mature games, especially after seeing how bad it did. Capcom carried the ball with RE4 and Killer 7, but we could have had it so much better. Alas it was not to be. Hardcore gamers just weren't interested in the cube.
Another game that greatly overlooked with be Beyond Good and Evil. Man, that was a great experience. I played that game only knowing a little bit of hype about it, but goddamn what a great game. Too few people have played it and it's really a crying shame because this is one of the few titles that really deserves a sequel and will probably never get it. Maybe if the Wii takes off, something will happen (ala Sam and Max), but we'll just have to wait and see.