Most of the great stuff has been mentioned but I'll try to add a few:
Granada, Musha, Mystical Fighter, Ranger X/Ex-Ranza, looks like no-one has mentioned Revenge of Shinobi (get early revisions of the game if you can to see all the weird cross over characters), Rolling Thunder 3 is an exclusive I believe (not an arcade port), the two Splatterhouse sequels, The Hybrid Front (Japanese), Phantasy Star II Text Adventures which were downloadable titles through the Sega Modem in Japan and have english translations online, Psy-O-Blade (digital comic, also has a translation), Rent-A-Hero, and Yu Yu Hakusho (also one of Treasures lineup.)
I'm a huge fan of Alien Soldier and it's the only Mega Drive game I really own, so I definitely echo that suggestion. That game has all the right elements for addiction and if you stick to it you will feel like a bad-ass tearing through it.