GTA III was nice, but I cant say it is a must have, since it DOES get boring after a few hours of play. GTA III Vice City is alot more fun, so you can say it is a must have. But... I cant really think of any more must-haves. You might like Medal of Honor, but thats on Xbox and Gamecube (obviously better on them).
PS2 had kinda a weak E3 lineup, I think. Alot of platformers, again... and your usual assortment of sports games.