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Megamania is my favorite shooter on the 2600.
Other good 2d shooters include Demon Attack, Phoenix, Turmoil, and Astroblast (use the paddle controller!).
For 3d, or behind-the-vehicle-perspective, games, my favorite one is Buck Rogers. Great fun game!
Next best is probably Solaris; it plays well, and definitely has some of the system's best graphics. Star Trek is pretty good as well. Juno First also looks great, but I haven't played it myself.