Oh, agree about "Revenge of Shinobi", "Gunstar Heroes" and "Golden Axe", and I'd also recommend "Street Fighter 2: Champion Edition", although make sure you get a copy with a manual. ("Super SF2" had four extra characters but they were pretty crap, as were the music and other options available in the game, so don't go for that one.)
What else...? "Probotector" was pretty good if you go in for fighting giant robots, "Shadow Dancer" was a particularly good "strategic" platformer with some pretty good scares at times and a surprisingly varied amount of gameplay - one minute you're creeping forward sending your dog to grab your enemies' throats, the next you're fighting obscene numbers of dog-resistant evil ninjas on a lift up the side of the Statue of Liberty. It had spectacular music and graphics too. "Sonic 2" is probably the best of the Sonic games although "Sonic 3" and "Sonic and Knuckles" are worth playing if you can get a hold of 'em. "Mega lo Mania" is good but you need the manual - there's no way you'll be able to get the best out of this game without it.
As for Streets of Rage, #3 really faffed up the presentation and front-end something rotten, but it's easily the best of the three gameplay-wise. And all three Streets of Rage games are worth buying for Yuzo Koshiro's music alone (come to think of it, he also did "Shadow Dancer" and "Revenge of Shinobi". Koshiro's name on the soundtrack pretty much guranteed quality back then.) Erm... one more... "Quackshot starring Donald Duck". Easily the best Disney adaptation on the Genesis, and a superb game in its own right. (Run screaming from anything starring Mickey Mouse - "Castle of Illusion" in particular springs to mind, its collision detection and control systems were appalling and frequently had me slamming my controller down in frustration. This in a game meant for kids!)
What to avoid: the original "Sonic the Hedgehog" is worth getting for curiosity's sake, but it's really a pretty bad game - you're constantly running into badly-placed enemies that there's no time to avoid unless you slow right down, which pretty much defeats the purpose, also the revolving special stages are terrible... "Sword of Sodan" deserves its own special place in hell... Pretty much any comic book adaptation is guaranteed to be mediocre at best, terrible at worst... and, "Phantasy Star 2" excepted, don't even consider the RPGs. It's not what the Genesis did best.
Hope that helps!