Always been partial to Elevator Action Returns, Boogie Wings is a decent and original shooter, and I spend a lot of time on classics like Ghosts and Goblins, and Time Pilot. If scrolling beat-em ups are your thing have a look at Vendetta (play the asian version which is uncensored), very much in the Streets of Rage mould only so much better and IMO offers a far more fun and varied experience than Final Fight.
In fact you I could probably go on listing games for hours, theres just sooo much goodness to be had from Mame.