Well, here are some random picks you might enjoy. I did.
Project: Snowblind
Basically a spiritual sequel to Deus Ex, but without any real role-playing elements. Basically a straight-foward FPS. Still enjoyable.
Darkwatch
A mix between gothic western and vampire survival-horror, combined to make a criminally fun shooter. I certainly enjoyed it, although it probably isn't for everyone.
Raw Danger
While the graphics and sounds are awful, the game itself is a great take on the survival-adventure genre.
Still: Good luck finding it if you live in Europe.
Evil Dead: Regeneration
It's Evil Dead.
Freedom Fighters
Originally an extremely overlooked game, Freedom Fighters has gained quite the cult following, and currently stands as one of my favourite third-person shooters of all time.
Fatal Frame (any of them)
If you like scary stuff, go with any of these. They might be a bit slow for some, as well as more complicated than one would expect, but they'll keep you hooked once you get into them.
The 2nd one is probably the best and scariest of them all.
Gregory Horror Show
One of the most bizarre games you can get on the system. Essentially an adventure game; very difficult to describe.
By the way; it was never released in North America.
Shadow Hearts
Great if you love classic JRPGs, with a very strange horror twist. It's getting kind of rare now though.
Pirates: The Legend of Black Kat
Pirate adventure game with tons of stuff to do. Great if you like exploration.
Devil Summoner
Very underrated action JRPG. A bit linear and repetative, but intriguing and very unique.
Silent Hill 2
One of the greatest things ever made by mankind, and my favourite game of all time. I see you've heard about it, so I won't go into much detail.
Yeah, I suppose some of these picks suck in some peoples' eyes. I'unno, I enjoyed them.