Valkyrie Profile
Breath of Fire IV
Persona 2: Eternal Punishment (Although it's combined with CG graphics. Blue Submarine 6 style.)
Thousand Arms
Rhapsody
Arc the Lad
Vanguard Bandits also has anime cutscenes, but it's not a good game. Super Robot Taisen series kicks it's ass hard.
And speaking of imports a lot of them have good anime cut scenes out there, but hardly anybody knows about them state-side.
