Yep for the most part there is no region lock out on the SMS, IIRC there are only 2 obscure Brazilian games that won't work on the North American SMS system, I don't remember which ones right now.

Anyway, some decent games to get:

Kenseiden - it's like Shinobi, if you like Shinobi you'll like this one
Shinobi - duh lol
The Cyber Shinobi - I always liked this one a lot, but it seems to really divide people
Sonic The Hedgehog - difficult as a mofo but still fun (it's the same as the Game Gear version)
Sonic 2 - see above
Sonic Chaos - by far the best of the SMS Sonic games and one of my favourite games of all time, it's really well made and not as insanely difficult as the first 2 Sonic games
Jurassic Park - unexpectedly fun game with surprisingly good graphics, it's basically the same as the Game Gear version except your character sprite is different
Phantasy Star - it's a classic, though if you don't like RPGs much maybe avoid it, it's a grind fest, but if like old school stuff like that, you'll love it
Transbot - cool little shmup, and probably the only good Sega Card game
Penguin Land - you can make your own levels, 'nuff said!