I would like to start with Valkyria Chronicles III: The Unrecorded Chroicles on the PSP by SEGA:

The game plays like alot like from the first two games of the series with some new elements inbetween and take place in the same events as the first one.
This game certainly deserve more recognitions in the west, but the reason why we don't got this game over here in the West is because the disappointing sales of the second game (Valkyria Chronicles II), so yeah. Fortunately there's a fan translation available in the internet
Any Japan-only games you guys would like to suggest ?