System Shock 1 just about fits "retro". Dodgy keyboard controls aside, that game defined "ahead of its time". More complex, scary, intriguing and well designed than all but the very best First Person games released in the 11 years since.
Dynamite Heddy was a classic Mega Drive platformer that was pretty damn trippy. You played a Puppet who had to save the Puppet show from the double threat of the Dark Demon and small-fry arch-rival Trouble Bruin (a cat thing that put its head on various machines in order to try and kill you). Heddy would get various head-power ups that changed his ability: there was a bomb-head that blew up everything on screen, a hammer-head that was slower by more powerful, a triple head that gave you three heads, a vacuum head that allowed you to suck up all the smaller enemies around you and many more besides. It was very hard and very, very japanese (a good, modern comparrison may be Katamari Damacy, which has the same air of insane inventiveness around it). The soundtrack was good fun as well. A good candidate for "the best game no-one ever played" IMO.
Alex Kidd in Miracle World Alex Kidd was actually very widely played - most people had it pre-installed on their MS. The problem is the nature of the gaming press: the Americans dominate the gaming press and the Master System was notoriously unpopular there, unlike Europe and Japan where it was immensely popular (Alex Kidd was SEGA's signature character until Sonic came along, appearing in about 5 different games). As Alex, you went around punching enemies, collecting money bags and eating the end of level handburger. Boss Characters were particularly strange, to be defeated by paper, rock, scissors matches (renamed Jenken Matches after the main bad guy, who by classic video game convention was about 4 times the size of everyone else).
Settlers I An excellent strategy game for the Amiga and PC. I personally never owned it (though it is abandonware now so it can be downloaded on the net), but the main draw for me was the ability to play it split-screen against a friend if you had a second mouse. It was far from being the fastest game in the world, being more Sim City than Command & Conquer, and it was always fun to see your little pixel people doing their jobs. The little forester would pop his trees into the ground, the forester would chop them down with his axe, the tree would get taken along your path to the sawmill and the resulting wood would end up in your storehouse. Waging war was fun but just building your kingdom up was enough. The second game was fairly good, losing a bit of the cute factor and the following games were ugly and lost the character of it all.