Last Guardian
Rest of The Devil's Playhouse
Sin and Punishemt 2
Portal 2
Valkyria Chronicles 2
Overgrowth

The one I already bought :
- Elemental: War of Magic - Pre-ordered 2 years ago to support development, it has better to be good !
Those that may interest me :
- The Witcher II - Almost sure that I'll buy this one on release if CD Projekt keeps the same attitude about DRMs.
- Alpha Protocol - Depends on the DRM and how the so awesome features will be actually implemented.
- Starcraft II - Not so eager to get it, but I remember that Blizzard does good stuff, so it's probably a question of time before it ends in my game library.
- Distant Worlds - If they manage to continue to upgrade the whole thing in the following months.
My 19th century grand strategy game dilemma :
- Vain Glory of Nations - Will have to prove it suits me better than Victoria II
- Victoria II - Will have to prove it suits me better than Vain Glory of Nations
Pending :
- Mount & Blade Warband : Waiting for good mods to be created/ported there.
Later releases :
- Diablo III - Waiting for this one since a bit of time...
- Mass Effect III - Absolutely want to finish Shepard's story and I'll buy it straight. I just hope that a "no-cd" will come soon after in order to deal with the non-practical aspects of the DRM.
- Dragon Age II - The first one was good, I hope the second one will be better.
- Risen II - With a more polished story...
Those I gave up for some reasons :
- Civilisation V - Steam-DRMed...
- Dawn of War II - Steam-locked...

My wishlist for PC, though I doubt it will be fulfilled this year (mostly because of hardware):
- X-Com remake
- Diablo III (if if if)
- Portal 2
- The Witcher 2
- Alpha Protocol
- Fallout: New Vegas
PS3:
- Red Dead Redemption (thanks guys)
- God of War 3
GOG:
- As much on my wishlist as possible

I'll update mine:
Elemental: War of Magic
Stronghold 3
Kings and Castles
Xenonauts
Lara Croft and the Guardian of Light
Chivalry: Battle for Agatha
Red Orchestra: Heroes Of Stalingrad
F.E.A.R. 3

Patrician IV.
That's the only game I'm particularly looking forward to. I hope Kalypso knows better than to dumb it down to satisfy a larger mass. Also, I hope I won't be as disappointed with it as I was with East India Company (I was really looking forward to that, but the reviews put me off).
OK, probably Civilization V, too, if it comes out this year and maintains the Civ quality.
(I don't list StarCraft II because that's more for my brother.)

Elemental preview part 1
part 2

Half Life 2: Episode 3
Don't laugh at me.

For 2010? Muahahahahaha.
.
.
.
I'm kidding. Watch out for E3 2010 news, Portal 2 will be presented there and maybe, maybeee Ep3. ;)

I'll die when they don't show Episode 3 at E3.
Not if. When.

I get your feeling, and I feel the same.
But... let's wait, maybe it's THIS E3. Though they are really quiet, nobody from Valve talks about anything other than Portal 2.

*edited*

removed
StarCraft 2 complete
it's too expensive

PotC: Armada of the Damned if it will not use Steamcrap

update
added
BFG:
Cleopatra: A Queen's Destiny
NiBiRu: Age of Secrets
Return to Mysterious Island
Return to Mysterious Island 2: Mina's Fate
Dracula 3: The Path of the Dragon
Egypt II: The Heliopolis Prophecy
Egypt III: The Fate of Ramses
Nikopol: Secrets of the Immortals
Paradise
Sinking Island
Voyage
removed
Royal Envoy Collector's Edition*
Ranch Rush 2 Collector's Edition*
Love Chronicles: The Spell Collector's Edition*
Haunted Manor: Lord of Mirrors Collector's Edition*
Mystery Case Files: Dire Grove Collector's Edition*
Dark Parables: Curse of Briar Rose Collector's Edition*
Treasure Seekers: Follow the Ghosts Collector's Edition*
Legacy Games:
A Vampyre Story
Memento Mori
Still Life
Igor the Game
Ankh Trilogy Pack

Off the top of my head Mafia 2 and Valkyria Chronicles 2.
On GOG I would love to see Mafia 1 and the NOLF series show up.