Cobra Command
Dark Wizard
Dungeon Explorer
Eternal Champions
Final Fight CD
Flashback
Keio Flying Squadron
Lords of Thunder
Lunar: Eternal Blue
Lunar: The Silver Star
NHL '94
Popful Mail
Road Avenger
Sega Classics 5-in-1
Shining Force CD
Snatcher
Sonic CD
Time Gal
Ultraverse Prime / Microcosm
Vay
Sega Classics 5 in 1 shouldn't be on the list. It's just a comp with no added features. Ultraverse Prime is a HORRIBLE brawler. Huge issues with control and very flakey hit detection. Time Gal, Road Avenger, and Cobra Command are all fine looking games, but there's no game in there. I know it's in the vein of Dragon's Lair and Space Ace, but those are more compelling game with excellent artwork. At the most, only one should be included. I'd personally vote for Time Gal since it has more personality than the other two.

Personally, my top 20 would be:

Snatcher - Definitive console adventure game.
Lunar: The Silver Star - Still stands as one of the best RPGs of all time.
Dark Wizard - Master of Monsters style turn based strategy game. Very fun and pretty darn hard.
Dune - A port of the otherwise unique Dune adventure game on the PC. A must play for fans of Frank Herbert's work.
Dungeon Explorer - Dungeon Explorer 1.5. More Gauntlet like. An excellent 4 player action-rpg.
Ecco the Dolphin - A port of the Genesis version but with some extra FMV. What sets it apart is it's outstanding soundtrack exclusive to the CD release.
Eternal Champions: Challenge of the Dark Side - So much stuff was added over the Genesis version, this is the EC game to play. Like the difference between Street Fighter II and Super Street Fighter II Turbo.
Heart of the Alien - Includes Heart of the Alien, the sequel to Out of this World. Saw no other console release. Both games are true classics.
Keio's Flying Squadron - A pretty average shooter at the core, but the Japanese wackiness makes it a must play for shmup fans.
Lords of Thunder - While technically inferior to the TurboGrafx-16 CD release, it's still one of the best shmups of all time.
Lunar 2: Eternal Blue - The sequel is a little bigger, and a little harder, but doesn't quite have the original impact of the original. Still a fantastic game in its own right. Stick around after the credits for a lot more game too!
Mansion of Hidden Souls - Fantastic atmospheric adventure game. Conjures some supernatural themes without being gory or creepy.
Panic! - Absolutely unique in the whole pantheon of video games. Press buttons, stuff happens. You will laugh, gasp, and ask yourself how the hell this game came out over here.
Popful Mail - Released on the PC Engine in Japan, this action-rpg hybrid by Falcom is a must play for owners of the system.
Rise of the Dragon - Ported from the PC game made by Dynamix. The second best adventure game on the Sega CD behind Snatcher. They share a lot of themes and a common origin point (Blade Runner).
Robo Aleste - Sequel to MUSHA on the Genesis and the last game in the Aleste series. Huge sprites and some fast gameplay make it a must own for shmupers.
Shining Force CD - Shining Force Gaiden and Gaiden 2 that were available on the Game Gear in one, improved package. The original Shining Force Gaiden never made it to the states, so this is the only place to play it for US gamers. A third, original scenerio is available after beating the first two.
Silpheed - Polygonal, but ultimately 2D space shooter. Has some excellent boss fights. Underrated, and kind of easy, space shmup.
Sonic CD - The best Sonic game? Maybe.
Vay - Despite a high ratio of random battles, this is a pretty enjoyable RPG. Very traditional and has a pretty steep learning curve. One of the first RPGs I have played that still has you farming for money at the end of the game.