Hmm...off the top of my head:

Silent Hill 2-4
Okami
Blood Will Tell
R-Type Final
Chaos Legion
Siren
Fatal Frame 1-3
Shadow Hearts
Dragon Quest VIII
Ico
Shadow of the Colossus

That Spyro you have (Dragonfly) tends to lag. A lot. Just a heads up. ^^ Hero's Tail is rather excellent though - not as good as the originals, but close. Even if Spyro is an smart-mouthed idiot in it. xD

Dragon Rage is good, though some of the levels... *shudder*
Legend of Kay - irritating voice actors, but fun story.
Devil May Cry 3 (special edition, not the regular!)

And of course, being the nerd I am, Neopets: The Darkest Faerie. It's actually really fun, and rather challenging. >>;;

Here's some of my favs:

R-Type Final
Gradius 5
Okami
Shadow of the Colossus
Rogue Galaxy
Hypersonic Extreme (if you like having a REALLY GOOD race track editor, this game is like 3$)
Silent Hill 2
Timesplitter 1, 2, Future Perfect
Rez
XGRA

I echo:
Okami
Shadow of the Colossus
Silent Hill 3

I add:
Einhander(rare, expensive)
Star Ocean 2: The Second Story(rare, expensive)
Zone of The Enders
Zone of The Enders 2 (rare, expensive)
G-Darius
Final Fantasy VII (PS1... :D )
Final Fantasy VIII
Final Fantasy 9 :P
Final Fantasy X