If you don't mind an FPS I highly recommend Resistance Fall of Man (PS3 exclusive), Metro 2033 (360/PC) and Metro Last Light (PS3, 360 and PC).
Edit: I also highly recommend Koudelka for PS1, and for PS2 (if you can find a copy) Killer7.
Edit: I also highly recommend Koudelka for PS1, and for PS2 (if you can find a copy) Killer7.