Chrono Cross. I'm from the UK, and it was never released in Europe. One of the best games I've ever played, and you will not pry it away from me.
Goes for about £140-150 mint on eBay, you could probably get it shipped from the US cheaper, and it doesn't play right under emulation... but I love it and it's one of my treasures. Incredible soundtrack, beautifully immersive game.
I'd put the Resident Evil 2: Dual Shock Edition in there too - it's nowhere near as rare, but also wasn't released in the UK, and is also a brilliant, all-time classic game.
I'm not sure if Tempest 2000 or Alien versus Predator on the Atari Jaguar really count as rare or just overlooked due to the unbelievable pantsness of their platform, but I have those and a bunch of others too. I really enjoyed Iron Soldier until I played Armored Core on the PlayStation and that ... sort of ruined it for me by being so much better.