-Bust-A-Move Pocket/Puzzle Bobble Pocket - Same game released under 2 different name. Fun, colorful puzzle game.
-Dark Arms: Beast Buster - Unique action-RPG with some odd/creepy art designs at times.
-King of Fighters R-2 - Second best fighting game on the system. Not quite as good as SNK vs. Capcom MotM, but for a handheld fighting game of the time, it's quite good.
-Metal Slug: 1st Mission & 2nd Mission - Great run-n-gun games. If you like Metal Slug, you'll enjoy these.
-SNK vs. Capcom: Match of the Millennium - Easily the best fighting game on the system.
-Sonic Pocket Adventure - Best game on the system, period. And still the best handheld Sonic game, IMO. It also has some sort of connectability gameplay mode on Sonic Adventure for the Dreamcast if you have the connection cord. But I can't recall exactly what it does.