To me, one game works perfectly, or as perfect as it needs to be: WORMS. I know most people like the PC version(s) more, but as SNES Worms was my first Worms game it has a very special place in my heart. The speed and sound are just fine at about frameskip 3, and dropped frames don't make much a difference as the graphics are so simple and the game is turn-based. This is as far as I'm concerned the best way to go for handheld Worms, as the Gameboy versions are rather weak, and the GP32 is the perfect vehicle due to the pass-the-controller-around-the-table nature of the game.
However, the one strategy game port to GP32 I would love to see more than anything in the world would have to be Pocket Tanks Deluxe, for many of the same reasons. It is the brainchild Tank vs. Tank (Qbasic Gorilla style) game from the veteran programmer who made Scorched Earth, and a good port would play beautifully on the Gamepark.