Batman Arkham Asylum for the PS3 and I have to admit its one of the best games I have played in awhile. It has a very well written story by Paul Dini and is exactly what a comic book game should be. Based off the original source and not the movies, this is a game I would highly recommend!
Note: I know the Penguin isn't in the game but I like this shot anyways =P. Maybe he can be in the sequel Batman: Gotham City (This is my guess for the title if they make a sequel).