I'm not terribly familiar with the PC Engine library, but at least as far as US releases go I think you are better off with HuCards for platformers.
That seems.... silly.
Wondlerboy in monstlerlair wasn't mentioned yet.
Right.
Wonderboy III: Monster Lair is a great platformer/shooter hybrid and a damn fine game.
Other notable CD platformers:
Faussete Amour is a cool, unique title with an interesting soundtrack.
Taito's
Bubble Bobble II: Rainbow Islands is a virtually arcade-perfect port (probably the only one in existence, and certainly the only one of its era).
Shape Shifter separates the boys from the men. I must be a man, because I f*cking love it.
Everyone knows about
Shadow of the Beast.I'm a huge fan of cartridge-based
Bonk 3: Bonk's Big Adventure, but if you're really only going for CD games
Bonk 3 CD is more or less the same, with a slightly inferior (in my opinion) redbook soundtrack.
A re-titled
Wonderboy V, released on the system as
Dynastic Hero is a worthy purchase as long as you don't overpay for the U.S. version. It is the direct sequel to the 4th Wonderboy game,
Dragon's Curse.