Panzer Dragoon Saga - Saturn
Radiant Silvergun - Saturn
Halo 2600 - Atari VCS
Steel Battalion with giant controller - Xbox
Metroid Prime Trilogy - Gamecube
Shinning Force III - Saturn
Burning Rangers - Saturn
Dragon Force - Saturn
Guardian Heroes - Saturn
Golden Axe Warrior- Master System
Legend of Zelda Collectors Edition - GCN
Albert Odyssey
Final Fantasy VII Black Label - PSX
Xenogears Black Label - PSX
Lunar for Sega CD
Lunar Complete for PSX
Lunar 2 for Sega CD
Lunar 2 Complete for PSX
Snatcher - Sega CD
Rainbow Cotton - Dreamcast
Cotton 2 - Saturn
Magic Knight Rayearth - Saturn
Alex Kid in Shinobi World - Master System
Sonic The Hedgehog - Master System
Boarder Down - Dreamcast
Ikaruga - Dreamcast
Ico -PS2
Air Zonk - TGFX-16
Exile Wicked Phenomenom - TGFX-16
Toe Jame & Earl - Genesis
Shining Force 2 - Genesis
Zelda LA DX - GB Color
Metal Gear Solid - GB Color
Metal Gear Solid: The Twin Snakes
Action 52 - Genesis
Donkey Kong Circus Panorama - Game & Watch
Donkey Kong Panoram - Game & Watch
Donkey Kong Hockey - 2Player Game & Watch
Donkey Kong 3 - 2Player Game & Watch
Donkey Kong 2 - Game & Watch
Donkey Kong 3 - Game & Watch
Donkey Kong - Game & Watch
Donkey Kong Jr. - Game & Watch
Donkey Kong - Table Top
Donkey Kong Jr - Table Top
Donkey Kong - Vic-20
Donkey Kong TI-99/4A
Donkey Kong - Atari 800
Donkey Kong - Commodore 64
Donkey Kong - Digital LCD Play Watch by Nelsonic
Super Mario Bros - Digital LCD Play Watch by Nelsonic
Star Fox - Digital LCD Play Watch by Nelsonic
Super Mario World - Digital LCD Play Watch by Nelsonic

I would have to go through a massive collection to find more rare ones, but these are the ones worth the most that I can think or look at right now.

Mario tennis GBA
Metroid prime Trilogy
F-Zero GX
Zelda Majoras mask
I.S.S
I.S.S 2000
DBZ Super butoden 2
Flashback
Parasite eve 2

It used to be Pikmin 2, jeez that game was quite rare. But then it comes out for the Wii....and now you can pick one up anywhere. So now I'll go with Billy Hatcher and the Giant Egg for the Gamecube.

Billy thatcher is sitting at my play n trade for 5 bucks right now, is it actually rare?

have a GBA micro which I always have on me, thing is tiny and I got a supercard with a 2gb stick full of gba goodness those are both rare items.
Got my GC pimped out with a GBA player 2 wavebirds and 2 Hori Snes pads for dpad gaming.
GC games of interest
Donkey Konga 1+2 EU + Donkey Konga 3 Jap
DK jungle Beat
4 sets of bongos
MGS TwinSnakes
Pikmin1+2
A factory Sealed copy of the Legend of zelda collectors edition disk, the one with OoT and Majoras mask on it
SNES
have secret of mana+ evermore still in their original boxes and packageing + maps
Illusions of time
have flash back too which someone listed here but I don't think it's a really rare game?
NES
Both zelda gold carts, but I'm sure they aren't rare at all I have 2 of the adventures of link even haha.
Boxed copies of NES golf/Marble Madness/TMNT
fighting Vipers for the saturn and fighters megamix fairly sure one of those was rare,

thing is I don't go off and value my individual games, but I keep my stuff in good nick, I have ever since I started gaming so I still have my NES/megadrive/snes/n64/gameboy/gba like... every game I ever bought I have it still in its original box with manuals. maybe close on to 1000 games there or abouts, don't really have time to search for each on ebay to see what's worth the most heh

FX Fighter. Rare and old. Not sure if valuable. I spent lot of money on it as a kid and didn't like it that much and felt bad but i still have it in my collection. 

 MS Dos game.  Mind blowing graphics.

Xenogears and Final Fantasy VII for the ps1 and the .hack // GU trilogy (Vol1. Rebirth, Vol2. Reminisce and Vol3 Redemption) for the ps2 all of those are quite rare SPECIALLY here in Ven where is almost impossible to find original copies of the PS1/2 era :)

doubtful but it's also Hatcher not thatcher, that was the name of someone in england a while back in politics :D I picked up all those odd GC titles when it was around, Doshin the Giant is pretty odd title too rarely seen it around so I got it.. odd populous type thing without the fighting.

I believe it is, at least for the Gamecube version. It's not available on any sites I know (to buy), and I think it was also imported from JAPAN.

This kinda for me too.
Maybe not my most valuable game in terms of money but the most valuable for me in terms of memories.
Was my first game and i played it a lot with my parents as a kid.

Otherwise in terms of money
Some sealed PS1 RPGs(Valkyrie Profile,Star Ocean 2,Suikoden 1+2 etc),sealed PS2 Games(Shadow Hearts for example) or SNES RPGs with the BigBox+guide and such stuff.