Panzer Dragoon Saga
AMOK (dull game but has very unique looks)
Toshinden Remix (for cupidos music track only)
Bug and Bug Too
Clockwork Knight 1-2
Earthworm Jim 2 (the Saturn version is the best for the game)
Keio Flying Squadron 2
NIGHTS and Christmas NIGHTS
Baku Baku Animal
Puyo Puyo Tsuu
Puyo Puyo SUN
every Bust-a-move / Puzzle Bobble game
Decathlete and Winter Heat (if you like buttonmashers)
the Capcom Generation series for classic games
all of the Digital Pinball games, especially Necronomicon (best pinball game ever)
Quake, Duke Nukem 3d and Exhumed are very impressive ports, so is Command & Conquer
Virtua Fighter Remix
Virtua Fighter 2
Virtua Fighter Kids
Fighters Megamix
Fighting Vipers (japanese version only, cause it has Pepsiman)
Guardian Heroes
Metal Slug (not as smooth but it has extra modes compared to the neogeo versions)
Sakura Taisen series (if you can read japanese)
Saturn Bomberman
Saturn Bomberman FIGHT!!
Sega Rally
Daytona CCE (japanese version only)
Sonic Jam (if you don't have the Megadrive sonic games)
Virtua Cop 2
House of the Dead
every Capcom 2d fighter there is, especially imports (Cyberbots, X-Men vs Streetfighter, Vampire Savior, Marvel vs Streetfighter, Street Fighter Zero 3)
every Shooter game there is, especially Cotton 2, Cotton Boomerang, Soukyugurentai and Radiant Silvergun
Burning Rangers sucks, don't play it. The game looks like it's about to fall apart in any second, and the controls are terrible.
Die Hard Arcade sucks too, way too boring and dull.
The Saturn is the best for shmups and fighting games mainly.