I haven't played it yet, but I've heard good things about...what is it?...Bishin Densetsu Zoku or something like that. It's a combination of a beat-em-up and a mode-7 racer, with a cyberpunk kind of atmosphere. Maybe someone else can shed some light as to whether or not it's actually a good game.
There's also Macross: Scrambled Valkyrie, if you're into mechs and shmups.
Hagane isn't a Japanese exclusive, but you'll find the SFC version for far cheaper than the SNES one and it's definitely a must-play. Same goes for Contra Spirits & Super Castlevania IV.
Also, Front Mission: Gun Hazard