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In addition to what bouzane posted (minus Golden Axe 2, Thunder Force 2 and Vectorman 2, none of which, I think, measure up to their sequels/prequels):

*Alisia Dragoon
*Blackthorne (32X)
*Castle of Illusion
*Castlevania Bloodlines
*Dragon's Fury (pinball a.k.a. Devil's Crush on the TG-16)
*Earthworm Jim
*Ecco the Dolphin and Tides of Time
*Ghouls 'N' Ghosts
*Landstalker
*Master of Monsters
*McDonald's Treasureland Adventure (stupidly easy, but quite fun)
*Rocket Knight Adventures
*Shadowrun (epic action RPG that doesn't get nearly enough respect)
*Shadow Squadron (32X)
*Shining Force I & II
*Sonic 3 & Knuckles
*Strider
*Wonder Boy in Monster World

Some others that aren't tip-top, but worth checking into if you can get 'em cheap:

*Atomic Runner
*Batman
*Chakan (very hard)
*Cool Spot
*Crusader of Centy (Zelda-a-like but not as well-designed)
*Decap Attack
*Elemental Master
*Gaiares
*Mazin Saga
*Mega Bomberman (if you plan to play with more than 2 people)
*Mega Turrican
*Mercs (actually better than the arcade)
*Quackshot
*Red Zone (technical showcase and hard as hell)
*Shadow Dancer (as hard as hell)
*Sparkster
*Splatterhouse 3 (a bit mindless but quite difficult if you want to get the good ending)
*Starflight
*Sub-Terrania (very difficult)
*Spiderman vs. The Kingpin (better on SegaCD but a great example, lo those many years ago, of how to do a licensed/superhero game)
*Targer Earth (hard as hell)