That have been mentioned already:
Psi-Ops: The Mindgate Conspiracy - Best psychic powers in a game ever. Seriously good fun.
Legacy of Kain - For some reason I have never owned one, but I have really enjoyed what I have played.
Condemned - The story for Condemned 2 became stupid once it got "magical", but the idea behind it was brilliant.
Alan Wake - Not so much a direct sequel, just a similar style game. I liked the method of story telling.
The Last of Us - It is a great game, and I'd like to see more.
That have not been mentioned:
FTL - I really like this game, but would like a larger and more detailed sequel. More variety, abilities and scope.
To The Moon - No sequel has been announced, but they did mention they'd like to make one.
Fallout - I like Fallout. A lot.