Batman Returns - Forget about the platform sections which are just the same as the md ver, the batmobile nd boat levels are excellent! (and you can configure the game to just play the driving sections)
Ecco the Dolphin (no sniggering please) - Almost identical to the md version, but the cd audio is excellent and really adds to the game
Final Fight - As BB says it's a great (but relatively expensive game) best home conversion there is.
Keio Flying Squadron - not exactly pushing the hardware to the limits but it's a nice fun horizontal shooter
Road Avenger - as BB says, it's a dragon's lair type game where you have to press the right controls at the right time, however once you get the hang of it it's quite addictive
Silpheed - It's basically galaga but with an fmv background, although you can crash into the scenery, it's an excellent shooter that looks good and plays fast.
Sonic CD - Excellent game
Thunderhawk - although like the amiga version this is made by core, the games play nothing like each other, the mcd ver is quite fast and fun and one of the few games that made use of the mcd's sprite scaling and rotation abilities.