Yeah, first-party generally means in-house so it' d have to be a MGS game if that' s what they actually mean. So we' d be looking at:
Fable 2
Banjo-Kazooie 3
Lost Odyssey
The Untitled Peter Jackson Halo Project
Halo Wars
However, MGS is acting at the publisher for several big non-Microsoft developed games, and they could easily mean 360 exclusive rather than first-party. That' d make Alan Wake, Too Human and Marvel Universe Online possibilities.
Too Human has had the most development trouble, so if they hadn' t said " first-party" i' d have put my money on that. With everything they' ve had going on, including their court case with Epic, it wouldn' t be too far fetched for the game to be cancelled.
I wouldn' t like to think that Banjo could be cancelled, although after the massive Viva Pinata, Perfect Dark and to a lesser extent Kameo flops, it' s within the realms of possibility. But after spending so much to aquire Rare, and with Banjo being a much anticipated title, i kinda doubt it. Kameo 2 maybe, but Banjo? Surely not.
Fable 2 is a possibility. The studio was going down the pan before Microsoft bailed them out and we haven' t seen much of the game at all. It could be BC all over again. If they do mean first-party then Fable 2 would be where my bet lands, otherwise i' d have to go with Too Human or Alan Wake...