For the SMS:
-Power Strike - This one is good and can only be purchased via mail order direct from Sega in 1988, so build a time machine like I did. I remember it arriving one cold winter's day. The box art is glorious blue and white. Great game with amazing music.
-R-Type - The SMS version is great and it was made by the same fools who made Power Strike. It has an extra level with amazing music that the PC Engine was not powerful enough to include.
For the Genesis:
-Thunder Force 2 - Major soft spot for this game. It has great music and I love the overhead stages.
-Thunder Force 3 - Instant classic. Great music
-Thunder Force IV aka Lightening Force - Great music and very challenging.
-Gaiares - Immensely challenging and very rewarding. Excellent graphics and music and a very innovative weapons system.
-MUSHA - Really cool game made by the same fools who ported R-Type to the Sega Master System, so you know it's probably gonna be good.
-Wings of Wor - Starts out kind of slow but really picks up after level 1 or 2. Cool music and fun gameplay, even if your character is the size of a gnat.
-Elemental Master - Interesting overhead shooter with fantastic music and very challenging gameplay.
-Super Fantasy Zone - A perfect sequel to the original with colorful graphics and catchy music that comes out of not only the left but right speaker as well!
-Gley Lancer - Lance a whole bunch o' gleys in this cool horizontal shooter. I am all for gley marriage.
There are likely others that I can't think of right now.