Well, for space sims there isn't much, just Wing Commander really. There are several on the 32X, though -- Star Wars Arcade and Shadow Squadron are both very highly recommended if you ever get a 32X! Particularly Shadow Squadron, it's one of the system's best games (but don't even bother without a 6-button controller, the controls are terrible that way). It doesn't look like it got a European release... too bad. Great game. Star Wars Arcade is fine, but compared to Shadow Squadron it just doesn't hold up. Shadow Squadron is short, but while it lasts it's a lot of fun and impressive.
Back to the Sega CD though. There is also SoulStar, which is pretty spectacular and really is a must-play for any Sega CD owner who wants to see a game that really pushes the hardware. Core Design did way better than most on the matter... the game is part rail shooter, part free-roam sort of simmish flight game (kind of like the "All Range Mode" parts of Star Fox 64 or Star Fox 2, but with somewhat more complicated controls). Make sure to have a 6-button controller! The controls are better with one... The game is all sprite-based, making great use of the system's scaling and rotation chips. It's difficult, challenging, and great. The soundtrack is every bit as great as the graphics.
Oh, Core's Battlecorps is also recommended. It's a mech game pretty much. Not a complex one, it's pretty FPS-ish, but it does feel like you're in a mech, if just from the great 'walking' sound effects, and rotating upper part (so you can shoot in one direction and walk in another)... very, very good game, and pretty great looking too. The only downside that like SoulStar, it's really hard, and has no saving. It doesn't even have the infinite continues of SoulStar, I believe.
Oh well... it's more than great enough to be worth playing. There is a level-select cheatcode, at least.
There are good space-based shmups though, of course, like most all older consoles... Sol-Feace, Android Assault, Silpheed... Silpheed has some of the better graphics on the system, too.