I had a Genesis & Game Gear. I was later to the Sega party, as I got the 2nd version of the system that came bundled w/ Sonic 2. There were a lot of great games on those systems.

Gunstar Heroes (All of you, especially if you like Contra, should play this)
Sonic Series
Phantasy Star IV (probably could be said of the whole series, but I didn't play much of the others yet)
Eternal Champions (should've had a mention in the Fighting Games thread )
Columns
Aladdin (I know it was released on other systems, but I loved this version)