Master System has some really neat games that were either Euro-exclusive or released in such limited numbers in the US as to be negligible (Golden Axe Warrior, Sonic 1).
Lately I've been getting into Euro Master System games since there are a few really good ones that don't cost an arm and a leg to get (I'm on a FB Master System fan group with a heavy Euro base that frequently has people selling stuff). Some good ones:
-Land of Illusion (incredible platformer that at times feels 16-bit. top 3 SMS games for me)
-Alex Kidd in Shinobi World (literally the only good Alex Kidd game, though a bit short and easy)
-Taz Mania (though you can probably beat it in 45 min)
-Sonic 2, Sonic Chaos (also put 1 here since its release in the US was extremely limited, and it's literally the same game, same packaging, same instruction book, just with a different UPC sticker and a $1k price tag)
-Golden Axe Warrior (I... think this got a US release but with the UPC sticker swapped. It's a total Zelda 1 rip)
-Ninja Gaiden (completely different from the NES version, and while the controls are a bit looser, it's still a decent time)
-Power Strike II (rare, expensive game, but it's a Compile shmup so you know what that entails)
-Streets of Rage (an interesting demake of the Genesis version, complete with a Yuzo soundtrack using the SMS hardware)
There are even some Brazil exclusive games I want to get into, namely another Mickey game and a port of the Game Gear Sonic Blast.
And some good US ones:
-Phantasy Star (if you know one SMS game it's of course this - this is the game that made me a hardcore RPG fan for life)
-Wonder Boy III: The Dragon's Trap (my second favorite game on the system, an awesome Metroidvania where you change into different animals to navigate the environment. Also got a modern-day remake!)
-Miracle Warriors (the first Japanese RPG to get a US release! pointless trivia alert! kind of dated and grind heavy)
-Golvellius (Zelda-esque adventure game with a mix of overhead, auto scrolling, and side scrolling session)
-Kenseiden (your character moves a bit slow but this is a decent, challenging sidescroller with a cool feudal Japan setting)
-Zillion (an early Metroid-esque adventure with a great soundtrack)
-Castle of Illusion (different to the Genesis version, some would argue superior)
-Rastan (decent, for the time, port of the Taito arcade game)
-Shinobi (another OK port)
-Fantasy Zone: The Maze (it's a Pac-Man esque game with Fantasy Zone aesthetics. Weird but fun)
-Aztec Adventure (a dated but still enjoyable overhead action game)
-Rambo (an overhead run n gun, a million times better than the NES version of Ikari Warriors... although I'm much more a fan of the side scrolling RPG NES Rambo)
-Spellcaster (an action game with J-ADV type scenes to mix things up, I think this was the prequel to Mystic Defender on the Genesis)
I just got Lord of the Sword so I want to give that a try too.
There's a Ys 1 port I want to try too, though it doesn't look that great, they commit the CARDINAL SIN of adding an apostrophe to the box art, and they call Adol "Aron" for some reason.
While no where near the level of the NES, there's still quite a few 'hidden gems'. I'll take the SMS over the dumpster fire that was the 7800 any day of the week.