Okay, that's enough suggestions for now, I haven't even finished downloading half the ones listed in I.S.T.'s post. I'll give some very short reviews of what I've played so far:
Altered Beast: Only played for a few minutes, didn't really like it.
Castlevania Bloodlines: Already played this one before, not my favorite CV but a good one.
Comix Zone: I'm really enjoying this one but it doesn't run too good in jEnesisDS, I think I'll play through it in Fusion.
Contra Hard Corps: Seems better than any of the other Contras I've played but I suck at it just as bad.
Cool Spot: One of my friends rented this when it first came out and we really liked it, I'm not seeing the appeal now.
Golden Axe: Not nearly as good as I remember.
Rocket Knight Adventures: This is one of the ones I owned and forgot about it. I used to be pretty good at it, not so much now, need to practice.
Streets of Rage: I'm not usually a fan of this genre but this one seems good, I'm going to keep playing it.
Vectorman: This one's good, I unlocked it in Sonic Gems Collection.
Vectorman 2: Ditto.
Man, Comix Zone is hard. Harder than Contra: Hard Corps, IMO.
Of course, I never even bothered to beat Contra without cheats, so I could be wrong...
Streets of Rage 2 is infinitely better than SOR1. It's just got better game balance, graphics, music, etc. In almost every single way it is superior.