I stand by Persona being my favorite game series of all time (3 was my first one, but 4 is very good too) but those are available on Steam now so aren't a great recommendation. but if you're taking games that are in other places as well, I would say Disgaea (2 was my favorite) and Devil May Cry (3 was my favorite.)

I would echo what someone else said here about Jak and Daxter and Ratchet and Clank. I know it wasn't as popular as some of the other games in the series, but Ratchet: Deadlocked was the first game I beat multiple times in a row.

I also played a bit of Dark Cloud 2 and never got too far in, but heard a lot of good things.