Ok, let's make a list of great console games. If the game on console has PC version we won't include it. (Or we can drop a note about it)

Don't forget to write if the game is released as HD or planning to release on HD.

[NES]
River City Ransom
Castlevania Series
Maria Series
Contra Series
The Legend of Zelda
Zelda II: Link Adventure
Metroid
Kid Icarus
Mr. Gimmick
Batman
Journey to Silius
Blaster Master

[Sega Genesis]
Shadowrun
Shining Force
Shining Force II
Phantasy Star Series
Sonic 1-3
Golden Axe 1-3
Comix Zone
Vectorman 1-2
Dynamite Headdy
Ristar

[SNES]
Chrono Trigger
Secret of Mana
Shadowrun
Super Metroid
Zelda: A Link To The Past
Contra 3
Super Mario World
Final Fantasy IV
Super Castlevania IV
Ogre Battle
Final Fantasy 4, 5, 6
Earthbound
Clock Tower (Japanese)

[N64]
Super Mario 64
Golden Eye 007
Perfect Dark
Legend of Zelda: Ocarina of Time
Legend of Zelda: Majora's Mask
Megaman 64
Paper Mario
Banjo-Kazooie and Tooie
Pokemon Stadium 1 and 2

[PS1]
Resident Evil 1 - 3
Metal Gear Solid (Also on PC)
Final Fantasy 7 (Also on PC)
Wild Arms
Vagrant Story
Castlevania: Symphony of the Night
Azure Dreams
Syphon Filter
Silent Hill
Intelligent Cube
Megamen X 4-6
Parasite Eve
Parasite Eve II

[PS2]
Disgaea
Kingdom Hearts 1
Kingdom Hearts 2
Suikoden Series
Medal of Honor
Contra: Shattered Soldier
Gran Turismo 3
Silent Hill 2
Summoner
Timesplitter Series
Bond Games
Dark Cloud 1 - 2
Metal Slug Anthology
Onimusha Series

[PS3]
God of War Saga (Includes all 5 God of War games)
Demon's Souls
Bayonetta
Red Dead Redemption
Dark Souls (Also on PC)
Catherine
Heavy Rain
Metal Gear Solid HD Collection
Metal Gear Solid 4
Devim May Cry HD Collection
Uncharted 1-2-3
Infamous 1-2
Valkyria Chronicles
ICO & Shadow of Colossus HD Collection
Rathcet & Clank All Four In One
Killzone Series
Resistance Series
Little Big Planet 1 & 2
The Darkness
The Darkness II (Also on PC)
Heavenly Sword
Mortal Kombat Komplete
Final Fantasy XII
Final Fantasy XII - 2

Xenoblade Chronicles. It made me want a Wii.

PS2 games:

Disgaea

"Disaster Report" (known in europe as SOS: The Final Escape)

PS3:

Red Dead Redemption - Successfully conveys a sense of place, and builds an atmosphere that both beckons and intimidates. Amazing voice work coupled with an open world that features something to do or see no matter where you end up.

Vanquish - For my money, the absolute greatest 3rd person shooter ever engineered. Controls are polished to arcade quality, the abilities are both satisfying and useful, and the set-piece moments amaze me in terms of scale and variety. Challenge mode and God Hard difficulty offer fresh ways to play, allowing the game to squeeze every ounce of longevity it can from its otherwise short campaign.

PS2 Games

Kingdom Hearts 1
Kingdom Hearts 2
Ridge Racer V

The world ends with you of Nintendo DS.

[PS2]

Suikoden III and V

[PSP]

Monster Hunter

Genesis
Shadowrun
Shining Force
Shining Force II

NES
River City Ransom

SNES
Chrono Trigger
Secret of Mana
Shadowrun

The must-plays?

Earthbound, Super Metroid, Zelda 3.

Xbox 360: RDR, Forza 3 and 4, Halo 3, Reach and Anniversary (hopefully 4), Dragon's Dogma
PS2: Medal of Honor Frontline
Xbox: Halo Combat Evolved, Halo 2
Xbox and PS2: Timesplitters series, Bond games (Everything or Nothing mostly)
N64: Goldeneye, Mario, Perfect Dark
PS1: MGS, Final Fantasy 7

Eternal Darkness
Terranigma
...

XBOX 360

Lost Odyssey
Blue Dragon
Halo/Gears of War....dunno what the story with PC versions, I dont think they are all on PC.
Fable 2
Forza
Gunstringer
Magna Carta 2
Too Human

I was actually quite disappointed with that one. It started quite well, but they could easily have cut 20h from the game (the game is roughly 50h). There is just too much filler content, in particular towards the end. The story is alright, but it shows its strongest side at the start, and goes downhill from there.


Anyway:
Wii/GC:
Fire Emblem (both games)
Metroid Prime 1-3
Viewtiful Joe 1-2
Super Mario kart (Double Dash & Wii)
Punch Out
Okami

SNES:
Super Metroid
Shadowrun
Zelda: A Link To The Past
Super Probotector/Contra 3

NES:
Metroid
Zelda 2
Kid Icarus
Mr. Gimmick
Batman
Journey to Silius
Blaster Master
Castlevania 3

NES
Super Mario 3
Castlevania
Mega Man 2

SNES
Super Mario World
Final Fantasy IV
The Legend of Zelda: A Link to the Past
Super Castlevania IV
Ogre Battle

[bi]Nintendo 64
The Legend of Zelda: Ocarina of Time

Wii
Super Mario Galaxy

Playstation
Metal Gear Solid

Playstation 2
Final Fantasy X

Playstation 3
Heavy Rain
Catherine
Uncharted 2
LittleBigPlanet
Red Dead Redemption
Valkyria Chronicles