Sega really hasn't done a lot worth noting since it left the hardware business. Their initial batch of third-party titles were great, but only because they were already in development as first-party titles (Toe Jam and Earl, Crazy Taxi 3, etc)
I've said it before and I'll say it again. The Dreamcast is still the finest example of console gaming to ever grace any living room. The combination of forward-thinking hardware and addictive games made for a very endearing experience.
It does sadden me that I'll never find out how the Shenmue franchise ends now... even after importing the sequel from Europe and going through hell to transfer my save file over from the first.