My favorites:
Sakura Wars 3 - This is the most lavishly produced game in the history of Sega. They poured every f*cking thing they had into this game. Beautiful 3D battles, AMAZING anime cut scenes, fantastic settings, quick and easy gameplay. Don't let the soul crushing mediocrity of the anime series or both Part 5s influence your decision to buy this. I can't say enough about this game. Part 4 is also nice, but its really a fan disk more than a real sequel since it only has three battles in it (1 GD as opposed to 3 for part 3). If you've never played 1 and 2 those were also ported to DC. Right now there is a Complete Box on eBay with a $150BIN (I paid $200 new when it came out) which gets you everything at once as well as an extra GD with all the download missions)
Lack of Love -
Propellor Arena - Actually, this was never released and therefore can only be pirated, which is a shame because its full on Fighting Vipers grade insanity but with prop planes.
Fighting Vipers 2 - Which reminds me of this game. Why is that dude WEARING A BIKE? Well, its the streets, yo, or at least what programmers who haven't seen daylight in 5 years think the streets look like in their caffeine fueled altered states.
Shenmue 2 - In this case by "import" I mean it has to be imported from the EU, not Japan. While Shenmue was a technically amazing game with about 1000 really annoying aspects, Shenmue 2 pretty much fixes every single one of them and moves the setting to the walled city of Kowloon. HOW BAD TO THE BONE IS THAT?
Ikaruga - This game is beautiful. Sure, you can get it for other platforms but...f*ck that.
Capcom versus SNK 2 - The game that Capcom proclaimed "2D will never die" on the spine card...just before they abandoned 2D fighting for a decade.
Tech Romancer (JP ver. is called Kikaio) - HOLY SHIT. You know how Namco takes its arcade games that then quadruples the amount of content thus making the JAMMA obsolete? Capcom did this here only they did it with a game that actually had some f*cking class.
Powerstone - Not deep, but 4 player fun. Has some of the only VMU games worth playing.
Rez - Possibly my favorite game of the last decade. Again, its on other system but...f*ck that. The DC ver puts out VGA and the PS2 one doesn't. Victory goes to the DC, clearly. This one came out in JP and the EU, I suspect the EU version is cheaper but I don't know.
Dream Studio - This is basically an RPG maker. Its a bit challenging because of the language barrier, but the game you make in it doesn't have to be.