I want to eventually get a model 1 Genesis and Sega CD (I have a modded Model 2), and I think the first games I would try to get would be: Ghouls N' Ghosts, Space Harrier II, ThunderForce 2, Herzog Zwei, and Last Battle. Yep, they're all launch titles I think - I have fond memories of all those games when my older cousin got them all when the Genny was new. Other than Ghouls N' Ghosts and Herzog, I don't think anyone would say to go for those other titles first. But I would!
What?!?
TFII is way underrated and Space Harrier II is great fun too.
The only stinker in that group is Last Battle.
My fav Genny games are:
Thunder Force III - the best TF
Thunder Force IV - better graphics and music than III, but worse level design
Elemental Master - one of the best games ever IMO - the soundtrack is just incredible
Phantasy Star II - this one is more because of nostalgia, as it's a grindfest
Phantasy Star IV - right up there with FF III (6) as best RPG of that generation
Ghouls and Ghosts - essential!
Sonic 1 - not a huge Sonic fan, but the first one is pretty great, as it has the best balance between speed and platforming
Herzog Zwei - great single player, awesome as multiplayer
MUSHA - a tad overrated, but still great Compile fun
Castlevania Bloodlines - not as good as X, IV or Symphony, but still fantastic
There are a lot of lesser known shooters, but the PCE is better for that anyway.