Well a few weeks ago I got a Mega CD as well..
Here are the games I got with it.
Final Fight - This game is great on the Mega CD Ive been playing it quite a bit recently. Its a lot better than the Amiga version. Its goes for around £20 - £25 on ebay though..
Pitfall - The Mayan Adventure. - Havent tried it yet.
Road Avenger - 'Dragons Lair' type cartoon game. Couldnt get into it myself but the graphics is quite nice.
Afterburner III - This is good fun and reminds of G-Loc more than anything. Has got speech too.
Sherlock Holmes.. - Solve the Murder game. I have only looked at it as its not my thing but it has loads of speech.
I think Ive also got Fifa 99 and a basketball game plus one other but the name escapes me at the moment.
edit: last game I got was called Tomcat Alley.. Its another 'Dragons Lair' type game but a bit more interactive. Also has nice graphics - like a playable Top Gun.