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.
Geez....talk about expensive. That's one of the most expensive megadrive imports I've ever seen (at one point, I was trying to purchase every game developed by treasure). It's also damn hard. I have yet to get past level 2 (i'm playing the emulated version).