The Legend of Zelda: Phantom Hourglass is a MUST have, especially if you are a fan of the Zelda series. It is a great game that will keep you engaged for a long time and has a pretty good Online gameplay. It is probably the best game available on the DS right now.

Other titles I HIGHLY recommend:
Mario Kart DS
Tetris DS
New Super Mario Bros
Professor Layton and the Curious Village