My one and only gripe is that the Halo series is XBox. Is there any equivalent on the PS3?
Killzone's the only Playstation exclusive shooter series that comes to mind. I don't like them quite as much as Halo but they're definitely worth checking out (you can buy them in a complete trilogy pack now which includes the first game remastered in HD but you'd have to import it as it's not released in the EU yet).
Edit: Doh, forgot about Resistance. Also pretty good games if you're a fan of the Ratchet and Clank weapon design.