ICO - an absolute masterpiece that didn't do well commercially. Hidetaka Miyazaki listed it as the game that inspired him to make the Souls games.
Deadly Premonition - Essentially Twin Peaks the game. It was janky as hell, and almost fits into the "so bad its good" category, but what a memorable experience that game was.
Shenmue I/II - Amazing games that were waaaay ahead of their time. Didn't sell anywhere near enough to make up for their monstrous production costs. Eventually we belatedly got Shenmue 3 as a kickstarter funded release, but it was released far too late and hasn't really aged to modern standards.
Sleeping Dogs - Honestly, the only 'GTA clone' that was amazing for me. Really sad that they stopped at one game.