Start with some cheaper, older games: Virtua Fighter 4, Baldur's Gate

A {its more Gauntlet than anything else, but well done}, ICO {a masterpiece of a adventure game}, Wipeout: Fusion {spacy racer}.
There's a whole line of $20 {new} Greatest Hits games, with popular titles like Gran Turismo 3 and Ace Comabt 4 {never played 'em myself}.
Some newer titles I like: Suikoden 3 {long, well-written --no, really- RPG}. Zone of the Enders: The Second Runner {short but intense anime-mech game. Excellent graphics and controls}, Guilty Gear XX {no, not porn, a 2D fighter w/bizarre character designs. Also great looking}. Ratchet and Clank, a 3D shooter/platform game that looks and plays like a inordinantly violent Saturday morning cartoon.
Also, check for deals and close-outs. My local Target has Sega's NFK2K3 for $9.99 {a steal at that price. Its a great football game}.