Comix Zone is cool but is also ball-bustingly difficult. Vectorman is another console exclusive that I thought was a pretty good entry on the system beyond the usual Sonic and sports games everyone is going to mention.

Gunstar Heroes is also another banger but due to its popularity it commands asinine prices on the used market so maybe just emulate that one.

On that note, I certainly won't fault anybody who wants to get some flavor of piracy cartridge, e.g. the Everdrive or some derivative thereof, to feed their retro console given the current insane collector's prices for many titles these days.