There might be some I'm missing, but off the top of my head...
ASR (Astonishia Story R) *
Mill *
Her Knights *
Dungeon and Guarder *
Funny Soccer
Tomak
Rally Pop
Super Plusha
GP Fight
Pinball Dreams *
Story of Bug Eyed Monster
Blue Angelo *
(The *'s are for games that have gotten good reviews and from what I have heard are worth your while)
Keep in mind that boxed versions of most games are very hard to get and some of the homebrew games and emulators are much better than the majority of the commercial titles.
Edit: Also some games are in Korean, yet are supposedly still playable and fun, such as ASR (Which has had rumors of translations since it's release) and Mill.
Edit #2: You can find downloadable versions of commercial GP32 games
HERE. Although that might not be helpful to the collecter side of you, the gamer side will enjoy the few good commercial titles.