Teddy Boy! Get teh Teddy Boy! Classic gaming!
You're a little kid, in very plain looking worlds, shooting ninjas and flying bugs that come out of dice. I kid you not. It's awesome fun.
'The Ninja' - Pretty much a rip off of the old Commando game that was on the Amiga and Atari, but with NINJAS! Lots of fun. Very hard.
'Fantasy Zone' - It's an R-Type sorta game, but on acid. Some seriously trippy looking levels, catchy music, DEMENTED bosses and the ability to go shooting for parts! Yay!
'Alex Kidd in High Tech World' - A seriously long game. Need the thinking cap for it, too. RPG/Platform/Adventure. The WHOLE objective is to get Alex to the arcade so he can play 'SAAAAAAAAGGAAAA'S' newest game; Out Run!

'Bubble Bobble' - Not exclusive, but the MS version was heaps good

'Sonic Chaos' - Yay, it's classic Sonic gaming. Watch the MS try and do silicon graphics!
'Wonderboy' - It's a MUST. A CLASSIC! And it inspired Hudson Soft to rip the game off and create Adventure Island for the NES...
'Wonderboy in Monster Land' - Nothing like the original Wonderboy. This one has an RPG slant to it. But it's not overhead view

'Golden Axe' - Because it's Golden Axe!
'Double Dragon' - This conversion was done by Sega themselves, it's very different to the NES/SNES versions. Good fun.
'Power Strike/II' - Yeah, a heaps cool arcade shooter!
'Enduro Racer' - Fun bike racing game. You could get run over by maniac cars! =O
I'll add more games as I remember them