Galactic Attack/Layer Section - awesome vertical shooter with some of the best 2D graphics ever, a rockin soundtrack and thumping sound effects.
Battle Garegga - real technical vertical shooter by Raizing. Very tough and requires a lot of knowledge of its rank system, which might turn some ppl off
Do don Pachi - still the best Cave shooter ever, IMO. If you can't get ahold of the PCB, this is the next best thing (besides emulation). Can be played straightforward for survival or if you get into it, for score.
Radiant Silvergun - some peeps call this one overrated, but I think the hype is warranted. One of my desert island games with almost infinite playability. Also, one of the technical marvels of the 32/64 bit era.
Vampire Saviour - great conversion of Capcom's fighting classic. I have the CPS2 board and this thing is pretty much identical. There are other great 2D fighters, but this is my personal favorite.
Dragon Force - super addictive sprite based real time strategy from Sega. One of my fav US releases.
Saturn Bomberman - best couch multiplayer game ever, IMO. I love all the stats that are accumulated per game and wish this was standard in all Bomberman games, as it's always fun to see who killed who, how many suicides you committed, etc.
+Many many more shoot em ups (Strikers 1945, Soukyugurentai, Darius Gaiden, Batsugun, Hyper Duel, Blast Wind, Guardian Force, ...)