Here go my recommendations:
Valkyria Chronicles: I'm the third one to recommend it, but probably the one who has babbled the most about it in here. I can't stress enough how epic this game is. GET IT. For your own sake, GET IT.
Metal Gear Solid 4: This is a tricky one. It's not a war game for the sake of blowing stuff up, and the addition of non lethal weaponry like a sniper rifle that shoots tranquilizer darts, a handgun that does the same and the general anti nuke message of the whole series makes this a game I go back and revisit, even after having beaten it more than 20 times... YES, 20 TIMES already. BUT (and there is a BUT), while newcomers to the series can ejoy the game, the full scope is dependent on having played every game before it.
Ninja Gaiden Sigma 2: Ninja running around, cutting baddies / robots / monsters / bigass demons / HUUUUGE statues, etc is cool as hell. I recommend the first too.
Street Fighter 4: Well, it's Street Fighter... You know what to expect...
BlazBlue (Calamity Trigger and Continuum Shift): Fighting game. The reason I mention CT, which is the first and CS, the second, is because in addition to the normal arcade mode, these two contain a full fledged story mode with multiple endings for all the characters. The story itself is very interesting, ranging from sad, dramatic, badass to even hilarious (especially in CS's gag reels). The fighting system is VERY different from Street Fighter 4's. To my standards, it is much deeper, each character is unique, with some relying on traps, status ailments, tricks and unorthodox maneuvers for combat in addition to the usual power, speed and endurance archetypes found everywhere.
Sonic's Ultimate Genesis Collection / Ultimate Megadrive Collection (correct me here, Semix! I know you have this one!): Easy as pie. A bundle of classics from the 16 bit era are in there. Streets of Rage, Sonic 1, 2, 3, Sonic and Knuckles easily warrant the buy for me. HOWEVER, it also packs the main classic Phantasy Star series. PSII, PSIII, PSIV and PSI included as an unlockable game... You only have to finish Sonic 2's first act with two players. Ridiculously easy. Oh, the total count of games in there is rather large. Shinobi 3, Kid Chameleon, Vectorman 1 and 2, Altered Beast (both Genesis and Arcade versions) and others are all included.
Those are the ones that come to mind out of the blue. I'll add more if I think you could like some others. Keep in mind, those are disc based games. I'll babble now about downloadable games you can go and buy off the PSN store.
Megaman 9: I dunno if you played the NES Megaman games. If you have noticed, Benito has been mentioning it lately. It's lots of fun, and yes, it's unforgivingly difficult.
Megaman 10: Pretty much the same as the 9th. Great gameplay, nice music (especially the last stages and Sheep Man's theme), but the added feature is that if you find the game too hard, you can always go into easy mode.
Flower: One of my favorites. Basically you use the controller's tilt sensor to change directions and any button to accelerate. You play as the wind and your job is to make flowers bloom all over. Sounds silly? Well, it's not. Go and see on youtube for yourself.
Sonic 4: People say it's good. I didn't quite like it THAT much, so I won't buy it anytime soon. Still, it's a Sonic game...
Blade Kitten: It's a side scrolling game that plays more or less like the games of old, but looks like the games of... last generation... Still, the game is an excellent change of pace, and the story and the main character earn a gold star from me (out of one gold star

) because of how refreshing they feel. Word of warning, the game is like $15. Hopefully it'll drop in price or something.
I can brag I got it for free in a giveaway hosted by Krome Studios by suggesting new items for the second episode. YAY!! Hopefully, my suggestions will make it in!
Sonic Adventure: The OOOOOLD Dreamcast game was recooked and released on the PSN. I'd like to get it.
Space Channel 5 Part 2: Unreleased just yet, but it's coming soon. ULALA IS BACK!!! I'M DROOLING ALL OVER!!!
Not really a PS3 title, but a PS1 title that you can buy off the PSN store:
Metal Gear Solid 1: Worth every penny. It's around $9, I think, and so relatively cheap. Still, it's one of the best PS1 games and one people who have played the series have enjoyed the most. Personally I can't decide, but hey, it's worth it.
If I think of more, I'll update my list.
Oh, and if you want to add me, go right ahead. My PSN ID is right there.