I bought the Sonic Mega Collection with all the Genesis games and the Mega Man X Collection with the SNES and PS1 games.
Buying them on VC would probably be a lot more expensive.
Oh, I remember F.E.A.R.. I used to watch the walkthrough on Youtube because I thought it had an interesting story. I'd probably be too much of a wimp to play them personally though.
On the other hand, Killzone's got my attention lately, too. Sadly I only have a Wii though. xD
I hear the reviews on that one are pretty good too.