I'll second the mentions of Batsugun, Cotton 2, Gunbird, and Sexy Parodius, but also add Battle Garegga, Soukyugurentai, Twinkle Star Sprites, Sengoku Blade, and Sol Divide (even though a lot of people hate it).
Gekirindan is worth playing, but the Saturn port is pretty gimped. It's relatively playable on MAME if you want to check it out, though.
DonPachi and DoDonPachi are both excellent, but stick to the PS1 versions if you can.