The Sega CD is my favorite system of all time.
Many of my favorite games are on that system.
I'm not into RPGs at all, so our favorite game lists may not coincide, but the Sega CD is good for all genras.
And all of these are Sega CD exclusives as well:
My favorite driving game: Batman Returns CD (driving levels).
My favorite flying game (other than X-Wing series): AH-3 Thunderstrike
My favorite fighting game: Eternal Champions Challenge From The Dark Side
My favorite platform game (other than Sonic/Mario): Earthworm Jim Special Edition
Not to mention an awesome array of shooters, again Sega CD exclusives
Android Assualt - could litterly be one of the best shooters ever, alongside the likes of Einhander
Silpheed
Robo Aleste
Soul Star
Keio Flying Squadron
(And you probably already have the orignal version of Lords Of Thunder, but still worth mentioning here)
And some more awesome Sega CD exclusives:
Adventures of Batman & Robin (driving/shooting plus exclusive batman animation)
Sonic CD
Terminator (platform shooter)
Road Rash CD (a unique 16-bit port of the 32-bit road rash incarnation, surprisingly the only version to include the music during the races, neither the 3DO nor Playstation versions have it!)
And I may be in the minority in the world, but I love a good FMV shooter. Visually pleasing, simple blastathon action.
Microcosm
Cobra Command
Ground Zero Texas
Road Avenger
And there's plenty more where that came from.
I also have collected most of the new release Sega CD games (Bug Blasters, Star Strike, Battle Frenzy, Burning Fist, Citizen X). I'd recommend Bug Blasters if you're into FMV shooters.
And also check out the imports. I'm probably the last lucky soul alive to get one of the MultiBios chips. I have:
Devastator
Dynamic Country Club Golf
Night Striker
Ranma 1/2 Byakuran Aika
Sengoku Densho
Urusei Yatsura: Dear My Friends
Yumimi Mix
Of these, I think Devastator is probably the most interesting. It's very unique and grows on you, very old-school platform shooter action, but with graphics touches that feel kind of TGCD. And Sengoku Densho is also really interesting and unque wild dimension hopping samurai beatemup shape changing action. In another league compared to the terrible SNES port. My Sengoku Densho is for sale though since I picked up the Neo Geo version.