Sega CD is a pretty nifty system for shooters, I recommend Robo Aleste, Astroid Assault: Bari Arm, Sol Feace (don't listen to people that diss this game, it's still a pretty cool game), Silpheed, and Keio's Flying Circus!
Sega CD is pretty much unlimited for FMV-based games, so if you enjoy cheesy movies and cheesy games, you'll love these then, at least for laughing because the gameplay for a lot of them is too damn hard to figure out! Sewer Shark is an easier one to play and it's hilarious!
I also recently picked up this sweet FMV game last Friday called "Revenge of the Ninja" which is a anime movie where you have to respond to the controls that pop on the screen, it has some really kick ass scenes in it. However the game is super easy and can beaten it like less than 15 minutes, so you'll probably only play this one once.
Don't forget your RPGs: Lunar: Silvar Star, Lunar: Eternal Blue, Vay, and Shining Force CD!
And you if you have a little extra money on your hands, definitely check out Snatcher, an outstanding digital comic that's actually in English!
The thing that sucks about Sega CD is that really cool games can take some good money out of your wallet!