Re: Just Bought a Playstation 3......
The Classics HD set of the Sly Trilogy is my primary recommendation. Sly 1 is okay, but Sly 2 and 3 are amazing (Sly 2 in particular being my holy grail).
Other recommendations, however, include Uncharted 2, LittleBigPlanet (1 or 2, doesn't really matter), inFAMOUS and, although it's not a PS3 exclusive, Saint's Row: The Third.
The funny thing is I have always been interested in Sly but haven't really had a chance to play. I just bought Bioshock on ebay, I will have to look for sly games eventually when I can.