the Castlevania series
Grand Theft Auto 3
Contra series (not the PSX games, though)
Final Fantasy RPGs are usually good
Shining Force
and recently, I've been playing Worms: Armageddon and Worms World Party with friends a lot on the Playstation.
But really, a lot of these choices are kind of arbitrary. There are a lot more games that I really, really like. Castlevania will always probably be my all-time favorite, though.