The Master System is my favorite console after the Turbo Duo.
I particularly like the selection of RPGs. They're few and far between, but the quality more than makes up for quantity. Y's, Phantasy Star, and Golden Axe Warrior hold their own against Crystalis, Final Fantasy, and Zelda. For better or worse, Ultima 4 is truer to the computer game than the NES version. Miracle Warriors, Dragon Crystal, Kings Quest, Lord of the Sword, Golvellius, and the Wonder Boy games (Land, World, and Dragon's Trap) round things out nicely.
Penguin Land is a good platform-puzzler. Slap Shot looks suspiciously similar to Blades of Steel (which is a good thing). I haven't played many Light Phaser games, but I like Rescue Mission a lot. Sonic 1 is the best of the four Sonic games and Mickey Mouse Land of Illusion is slightly better than Castle of Illusion.