Crisis Core: Final Fantasy VII for PSP was so damn good. Zack was such a likable protagonist, the combat was super fun, the plot added cool background to the world of FFVII for the most part, and that soundtrack is one of the all time greatest. I get big time nostalgia whenever I hear music from that game.
Runner up is 999: Nine Hours, Nine Persons, Nine Doors for the Nintendo DS. (It's since been ported to other platforms.) The trippy story and wild twists are seriously memorable. 9 people trapped in a ship, forced to play a deadly game, and nobody is as they appear. Awesome premise, and pretty damn good execution. I really liked the writing.
I wish more had come of the frozen Egyptian priestess sideplot. Tantalizing as hell. Alice in the follow-up game Virtue's Last Reward was such a cop out, god damn.