Some I really enjoyed were:
Klonoa -
Fantastic 2d/3d platformer
Finger Flash -
Japanese puzzle game that was so addictive
Monster Rancher -
Played it for HOURS! Way before Pokemon.
Einhander
Lunar -
Was better on Sega CD though, just fit more back then.
Jumping Flash -
One of the original games and still a favorite! The sequel is cool too, but this one is the best!
Ape Escape
Buster Bros Collection
Ace Combat 2 -
Incredible, if they remade this version on a next gen system I would be all over it.
Crash Team Racing -
Great Mario Kart style game
Tenchu -
One of the coolest Ninja games in a long time.
Ridge Racer 4
Um Jammer Lammy -
So much better then Parappa and Parappa 2, truly a great music game.
Hot Shots Golf
Ghost in the Shell
Vagrant Story
Bushido Blade 1 & 2
There were so many good games, the ones above took hours away from my free time. Must haves I would say are Ace Combat 2, Tenchu, Einhander, and Klonoa
-Nick