Virtua Fighter 5, although it technically wasn't the same game on both platforms.
Ditto for Ridge Racer 6 and Ridge Racer
6.57 <-- I prefer Ridge Racers 2 on PSP to them both

Tekken 5 Dark Resurrection if you want to count that too (PSP and PS3)
Outrun 2006 (released during this gen) for PSP and PS2
Sengoku Basara 2/Heroes (ditto) for PS2 and Wii
Musou Orochi (PS2, sold for 360, and next week is the PSP version)
Samurai Warriors 2 (PS2 and then 360, then BACK to PS2)
Guilty Gear Accent Core (PS2 and then Wii)
Biohazard 4 (Wii version following the GC and PS2 versions)
Tomb Raider Legend for PSP and 360.
I'm sure I'm forgetting some stuff, too...