Shin Megami Tensei: Digital Devil Saga (Complete: This means 1 & 2, which seamlessly merge together.)
Shin Megami Tensei: Persona 3 & 4 (Unlike DDS, these are two completely different games with the same system, etc.)
Dynasty Warriors 4 & XL (Screw DW5! Replacing XP with Money is a horrible mistake. DW5 is the worst example I've ever seen of a sequel being a straight downgrade.)
Burnout series
Atelier Iris: Eternal Mana series
Mana Khemia series (Sequel to Eternal Mana.)
Radiata Stories (Beautiful, beautiful game.)
Makai Kingdom
Neo Contra
(See the bonus movie. Now.)
Drakengard (Dragons? In my Dynasty Warriors? It's more likely than you-OH DEAR CTHULU THE 4/5 ENDING AAAAAHHHH)
Drakengard 2 (Also fun...but not as creepy.)
Drakan: The Ancient Gates (Free roaming, AWESOME RPG. I didn't think this kind of thing was possible in the early PS2 days.)
Rachet and Clank: Up Your Arsenal (Best in series.)
Shadow the Hedgehog (HAHAHAHA No, I kid you.)
That's all I can think of now.