Alot of people think all the Sega CD has to offer is Sonic CD and Snatcher. Couldn't be farther from the truth.
Robo Aleste- Very awesome shooter with very awesome music. It's often compared to the amazing MUSHA. I'm not sure if it was made by the same developers or not. I could have swore that both were made by Seismic but apparently Robo Aleste was done by Compile? Either way. Good stuff. Very intense and challenging.
Lords Of Thunder- Another shooter with great graphics for the time and a stellar soundtrack comparable to Guilty Gear X only you can tell it was made in the 90s.

Final Fight CD- It's Final Fight, but it's probably the coolest console version of it from the 90s. Excellent revamped music, the graphics are almost spot on, and you can play as all 3 characters. And Poison is also in there.
Popful Mail- This one is actually on Turbografx and SNES too, but I'm not sure which came first. Either way it's a very cool little platformer mixed with an RPG.
Sonic Megamix- This is actually a homebrew. It's very buggy in some spots but that doesn't stop it from being awesome. It goes extremely fast, uses alot of background sprites from the Sonic Advance games, and you can choose between Sonic, Knuckles, Shadow, Mighty, and Tails.
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HONORABLE MENTIONS: Fatal Fury Special, Eternal Champions, Earthworm Jim, Road Rash CD, Batman Returns, Pitfall, Terminator, Vay, Lunar 1 and 2, Shining Force CD, Dark Wizard