My Mega-CD collection so far consists of,
Arcade Collection (Revenge of Shinobi, Golden Axe, Super Monaco GP, Columns, Streets of Rage)
Batman Returns
Chuck Rock II: Son of Chuck
Ecco the Dolphin
Final Fight
Ground Zero Texas
Mickey Mania
Mortal Kombat
NHL Hockey '94
Road Avenger
Robo Aleste
Sensible Soccer
Sherlock Holmes Consulting Detective
Silpheed
Snatcher
Sol Feace and Cobra Command
Sonic CD
Soulstar
The Terminator
Thunderhawk
Wonder Dog
Of those I'd say my favourites are Snatcher, Sensible Soccer, Silpheed and Sonic CD.