Dracula X is awesome, but challenging. If you're a fan onf the NES Castlevania games, this is the cream of the crop. If you're a fan of Symphony of the Night style gameplay, this game can be very frustrating.
Spriggan is probably my favorite CD game though it's import only. Really amazing shooter.
Gates of Thunder actually has 4 games on the disc. GoT, Bonk 1 and Bonk 2 as well as Bomberman. GoT is an awesome shooter with a rockin' soundtrack and worth the purchase even if you don't want the other games.
Ys Books 1 & 2 is a great action RPG. Spectatular music. This is truly one of the standout games for the system, imo.
Buster Brothers is a great 2-player co-op game. It doesn't get a lot of fanfare but I think it's a lot of fun.
Riot Zone is along the same vein as Final Fight or Streets of Rage, only it's one player. It would have been awesome to be able to play through this with a buddy, but it's still decent as a single player game.
Sapphire is an outstanding shmup, but it requires an Arcade Card.
Sherlock Holmes 1 was another game I really enjoyed playing (and the fmv was impressive at the time though it's laughable now) but doesn't get much fanfare. Part 2 or J.B. Harold Murder Club didn't hold the same interest to me as the first SH game, though I don't think I've given a fair shake to the J.B. Harold game yet.
Lords of Thunder is another rockin' shmup. Very challenging, but the graphics an music make the punishment very rewarding.
Star Parodier is an awesome cute 'em up which is kind of a spiritual successor in another dimension to Super Star Soldier. You can play as Bomberman, a Star Soldier spaceship, or a PC Engine. Lots of humor, great gameplay, fun game!
I keep hearing Dungeon Explorer II is outstanding, though I haven't really dug my teeth into it yet. These days I prefer a game I can play for 30 minute chunks, so most shooters fit the bill perfectly. RPGs are a little harder for me to get into these days.