I highly recommend:
Illbleed: a great B-horror style adventure. Unlike other survival horror games, this one has its tongue firmly in its cheek and doesn't take itself seriously, making it a fun game with tons of replay value.
The House of the Dead 2: still the most visceral light gun game on the market
Soul Calibur: still looks gorgeous and plays marvelously after all these years, and the customizable opening movie rocks!
D2: one of a kind blend of RPG, survival horror, adventure, MGS style cinematic storytelling, and *gasp* hunting game!
Chip your DC to play imports. There are tons of gems not released in the US:
- Sakura Wars 3: there will be a PS2 port, but it will be nowhere as good as the DC original if the PS2 remake of the first game is any indication.
- Hanagumi Columns 2: great Tetris clone featuring the cast from Sakura Wars 2, with tons of playing modes.
- Mobile Suit Gundam: Federation vs. Zeon + DX, you get both the original and DX version in 1 package, and this is an arcade perfect port unlike the poor PS2 port
- Gundam Battle Online: still tons of fun in offline mode, play either size of the conflict and receive upgrades as you progress through the campaign
- Frame Gride: from the makers of the Armored Core series, this is basically the same game in medieval/fantasy setting, with your mecha now looking like armored knights and able to cast deadly spells instead of raining lead upon all around you.