You knew this was coming next from me, didn't you?
Admittedly, all of the imports I own for the SF made it out in the states except for Ganbare Goemon 2. I've played a few others via ROMs, but never for very long.
So, since I'm not really counting ROMs, here's my lone pick:
Ganbare Goemon 2: Kiteretsu Shougun Matsuginesu - Much, much better than the original Goemon for the SF. Being able to choose from Goemon, Ebisumaru or... the character who's name I can't remember is a nice plus, plus you can play XEXEX in the amusement park!