This is the first "What should I play on early Sega?" thread that already has almost all my favourites. In fact, many of them are in OP's list. But to reiterate some added by other commenters:
- The "Strike" games (Jungle, Desert, and Urban)
- Flashback (I agree that the MegaCD version is the best single version, but the fan community has been building a Frankenstein's monster from the best parts of every version; I forgot the name of the project)
- Wonder Boy III: The Dragon's Trap (SMS)
- Wonderboy in Monster World (MD)
- Quackshot (MD)
- Rock 'n' Roll Racing (MD)
- Sunset Riders (MD)
I don't think anyone's yet mentioned:
- The Immortal (MD)
- Golden Axe Warrior (SMS)
- Arcus Odyssey (MD)
- The Lost Vikings (MD, although I played the PC version back in the day)
- Micro Machines (MD)
- Crack Down (MD)
- Gain Ground (MD)
- Alien 3 (MD)
- Addams Family Values (MD)
- Monster World IV (MD, although I haven't actually played it yet)
And a few more that I'm fond of, but I either can't remember them clearly (other than that I enjoyed them at the time), or I'm aware that I can't separate fact from nostalgia, so YMMV:
- Sword of Vermilion (MD)
- Light Crusader (MD)
- Robocop vs Terminator (MD)
- Predator 2 (MD)
- Cosmic Spacehead (MD)
- D&D Warriors of the Eternal Sun (MD)
- Atomic Runner (MD)
- Techno Cop (MD)
An honourable mention to Cadash (MD), which is a solid attempt at a port but sadly can't really hold a candle to the arcade original.