Enduro Racer is good, simple fun, although I recommend you track down the rare Japanese version that was dumped recently, it has 10 levels instead of the original 5.
Alex Kidd in shinobi world, in my opinion, is better than the original shinobi. It is a great game.
Sonic 1, 2 and Chaos.
For game gear, there are 3 other sonic games not available on the SMS. Sonic Triple Trouble (or Sonic & Tails), Sonic Drift, and Sonic Drift 2. Triple Trouble is the best Sonic game on any Z80 based sega platform.
Micky Mouse & the Castle of Illusion was better than Land of Illusion IMO.
Ghost House is fucking near impossible, but it IS fun, kind of, intil you throw your GP32 out the window from frustration.
Rampage for the SMS is a great port, far better than the NES version.
All of the Mortal Kombat ports are fucking horrible and will make you hate life.
The Street Fighter II port is surprisingly good, at least for a TecToy conversion.
Alex Kidd in Miracle World, duh.
Fantasy Zone 1 and 2. 3 is crap.
Road Rash, It's amazing how close this is to the Genesis/Mega Drive version. You can hardly tell the difference. Excellent job on the port.
Puzzle Bobble for the Game Gear.
Bubble Bobble for the SMS, best version EVAR!
Can't forget the original Wonderboy. Wonderboy 2 is good as well, a bit easier than the PC Engine version.
Probably more, pretty tired at the moment.