I owned an SMS as well as a NES back then. At the time I felt that while the NES definitely had a larger library and some very interesting games, overall the SMS games were a bit more polished, and the unique ones (ie-not arcade ports) were all amazing. (A few arcade ports, like Choplifter and Rastan, were actually pretty damn good.)
Phantasy Star is the best 8-bit RPG hands down, as long as you're into the futuristic setting. There's nothing on the NES that compares with how epic this game is, both in terms of scope/depth and presentation. It's such an advanced game that with the FM sound enhancement, you'd swear it was a Genesis game. It absolutely blew my mind at the time, and I was obsessed with it for quite a while.
Spellcaster is another classic that really gives the NES a run for its money. It's a combination of Mystic Defender (MD is actually the sequel to it) and iCom Macventures, like Shadowgate. It's a little clunky, but I assure you that at the time it was mindblowing.
The Fantasy Zone games, especially Fantasy Zone 2, were incredible. There is no NES game that looks as good as Fantasy Zone 2.
Zillion is an amazing game. It plays like a cross between Metroid and Impossible Mission with an anime theme. If you own a Master System, you simply must have Zillion and Phantasy Star. Zillioin 2 is a pile, though.
As far as light gun games go, Rescue Mission is my second favorite of all time (Gumshoe is the first). It's reminiscent of those Exidy arcade gun games where you have to protect the on-screen character. It's so fast-paced I remember my fingers being so sore...
Anyway, the SMS was like a well-kept secret when I was in 6th grade. Only me and a few friends had one, but it was awesome and very special. SMS owners in my middle school tended to stick together.