Some great suggestions so far, for cheap US games people already beat me to the punch with some of these. Sorry for some duplication, but I would say these cheapies are great:
Three Dirty Dwarves
Die Hard Arcade
Robo Pit (always LOVED this shitty game)
Galactic Attack
Astal (maybe not underappreciated)
Decathlete
D / Enemy Zero series
Blast Chamber (specifically multiplayer)
Blazing Dragons (yeah... so what if I like it a lot)
Sega Rally (netlink version is slightly smoother and also cheap)
Clockwork Knight
X-Men Children of the Atom
Darius Gaiden
..and finally Criticom is so awful that it is good. My friend and I have played scores of times.