Sonic 3 & Knuckles
Sonic Adventure DX: Directors Cut
Sonic Adventure 2: Battle
Shadow The Hedgehog
Sonic Heroes
Sonic Triple Trouble
Sonic The Fighters
Sonic Battle
Sonic Drift 2
Sonic CD
Sonic Advance 1
Sonic Advance 2
Sonic Advance 3
Sonic The Hedgehog
Sonic The Hedgehog 2
Sonic The Hedgehog 3
Super Smash Bros. Melee
Super Smash Bros.
Legend of Zelda: Wind Waker
Legend of Zelda: Majora's Mask
Custom Robo
Final Fantasy: Crystal Chronicles
Final Fantasy X
Sly 3: Honor Among Thieves
Sly 2: Band of Thieves
Sly Cooper and The Thievious Racoonus
Mario & Luigi: Superstar Saga
Mario & Luigi: Partners in Time (I might not have it yet, though I read enough to know it will be awesome).
Those are my number one favorites so far, though I expect to add Dead or Alive 4 and Perfect Dark Zero when I get the Xbox 360 and Sonic Rush, Sonic Riders, Sonic Riders 2 (which is next-gen), and the next-gen Sonic game entitled Sonic The Hedgehog.