Interesting question. Naughty Dog is to Sony as Retro Studios is to Nintendo. Not sure if you'd count either of those for inhouse exclusive developers, but from that you get Uncharted, Jax, and TLOU.
Sony's own games include Gravity Rush, Ape Escape, Legend of Dragoon, Shadow of the Colossus, Ico, Locoroco, and Knack. Co-devloped games include Freedom Wars, Soul Sacrifice, and the Last Guardian.
Seeing as Sony is a far larger company than Nintendo, it makes sense that a lot of their game studios are licensed and purchased by Sony to create games. If you go back to Microsoft and Halo, Bungie didn't even intend for Halo to be a Microsoft exclusive until they jumped on it during a game preview at a convention. Bungie is seperate from Microsoft. Forza's PlayGround Games is seperate from Microsoft, but are inhouse. Coalition Games does Gears of War, not Microsoft itself. And it's not remotely a "lame" way of business, especially as Nintendo takes part in it, too; e.g. buying up MonoSoft from Namco, and Nintendo licensingother studios like Hudson Soft and Next Level Games for Nintendo games as well. It's just more common to see Nintendo publish and develop their own games as they're purely a game company.