Outrun 2 immediately comes to mind. PS2 had 06: Coast 2 Coast, but 2 was an Xbox exclusive. And likely due to the Ferrari licensing, it's never been made compatible with the newer consoles.
Skimming through my games, I dont have many exclusives that haven't been made back compatible, but those that are, I kept separate from the others. The bangers are Blood Wake, House of the Dead III, Ninja Gaiden and Silent Scope Complete. But, my tastes, ymmv. Doom 3 may now be available on newer consoles, not sure. Couple cool arcade comps, Taito Legends and Tecmo Classic Arcade. And while I didnt end up liking it, those into platformers might, Toe Jam & Earl III. Every other non-back compatible exclusive I have is racing games that no one else cares about. Ha