Cobra for SegaCD is okay, but the pace is extremely slow compared to Snatcher. Still, it's a great piece to have in your collection because you don't see too many of them, and it's one of the earliest US console games I can remember that features both profanity and boobs. =)
The cool thing about SegaCD Snatcher being US-exclusive is that there are some parts of the game that only we got, such as...
*SPOILER ALERT!*
...the Outer Heaven club, where all the patrons are Konami game characters like Goemon, Simon Belmont, and Sparkster (as opposed to the PCE version where they're all sci-fi characters like the Giger Alien, Kamen Rider, Guyver, etc); and the ending, when Metal Gear MkII is rebuilt as a Genesis/SegaCD combo unit.
*END SPOILER ALERT!*
I've played through my SegaCD Snatcher I dunno how many times, I love that game the most...but incidentally, I don't have the PCE version, although I do have the Snatcher Pilot Disk and a kickass Japanese guidebook/fan book for PCE Snatcher. Gotta get around to adding the actual game to my collection I guess.