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.