Third party games, is a creator is not the orginal creator of something. Sony made PS2, so all games made by Sony are First-Party game (Ussualy the best quality early on) and games like Grand Theft Auto are Third-Party games, it goes same for Nintendo, and anything else console-wise.
Sorry Metriodz, I had to clear it up, you didn't want him thinking like games made by Sony were third-party games.
I looked up 3rd party, and it said a game that is developed by a different company. I got curious and looked up 2nd party, and it said its a different company, but it ONLY develops for a certain company[such as the makers of Mario Party(sorry I can't remember the name , its like "sun-something")].