Micky Mouse Land of Illusion and Sonic the hedgehog were two games I enjoyed a lot back then on the Game Gear, and I think their Master System counterparts should be even slightly better due to the larger TV screen. Sonic 2 paled in my impression due to very frustrating collision detection on the first boss, but with the level select cheat you can easily try later levels like the scrambled egg zone (I didn't make that up, seriously) and try flying the hang glider.
I couldn't really get into Castle of Illusion and Lucky dime caper, although I think I should give them another try now that 20 years have passed since then.