The best of the bunch were probably Final Fight CD, Batman Returns (as previously said only for the driving) and Ecco CD (as said before the music was very atmospheric and suits the game perfectly). Keio Flying Squadron and Silpheed offer adequate SHMUP action as stated previously.
Battlecorps by Core wasn't too bad. It was quite slow (down more to game desing than the Mega CD's abilities) but it used scaling and rotation to good effect.
Robo-Aleste was okay, I think better than Sol-Feace. It's not one of Compile's best but there isn't much better SHMUP action on the Mega CD.
Bari-Arm and Lords of Thunder are not exaclty groundbreaking SHMUPS but they are no worse than Sol-Feace. If I remember rightly, they seemed very much like Megadrive cart ports with CD music, but then so did many of the non-fmv games.
Or you could go to http://www.zonesega.com/consoles.php3?console=MegaCD
and download what they have to offer (they have Saturn iso's too), which changes regularly, or used to anyway and download them and then burn them onto a CD making sure that the MP3's are burnt as CDDA. They should work as the Mega CD had no hardware protection for reading CD's as CD burners were not about back then.