Several of the MD games I own never made it to the states, so these are the ones I've chosen to list here as my picks:

Alien Soldier - Fantastic run-n-gun from Treasure with some of the best graphics I've ever seen on the MD. The bosses are downright huge - and if you like boss fights, there's a lot of them in this.

Megapanel - Addictive puzzle game from Namco. Think of a reverse Tetris crossed with those stupid "sliding panel" puzzles that always used to frustrate the hell out of me.

Darwin 4081 - It may just seem like your average overhead shmups on the surface, but the ability to have your squid (that's what I call the ship, anyway) evolve with different forms of DNA is fairly unique - so what if it's just another power-up gimmick?

Mamono Hunter Yohko: Makai Kara no Tenkosei - The one sidescroller based on the Devil Hunter Yohko anime series, and imo it's quite good - a lot like the Valis games in a lot of respects.