There are lots of games coming to my mind.
At first Mafia 2, no matter whether on PC or even 360 (which would be great because of the graphical aspect), this game was the best i've ever played (not kidding)...
Well, what else ? Erm, Brothers in Arms 3, Stalker (also on 360 or PS3, because of the look), Freedom Force vs. The Third Reich on PSP, great for playing while going by train...