The Sega CD is full of "Dragon's Lair" type of game.
This is what I recommend for the Sega CD:
Snatcher - Usually regarded as a "childish" version of the MSX original (Less gore, more "family-friendly" and a different ending), up until the MSX version was translated, it was the only way of playing this game if you didn't speak japanese. Still an awesome game.
Formula-1: Beyond the Limit: One of my fav racing games of all time. It's a big shame it's so unknown, it's a great racing game. No other game can make you "feel" like you are in the F1 circus like this one.
Sonic CD: Great stuff.
Heart of Alien: The sequel to Another World. Owning a Sega CD is the only way to play this game (I cant understand why it was a Sega CD exclusive), and if you liked Another World, you surely will like this. (I know where you can download this one, but dunno if I should post a link)
Shining Force CD - I don't like RPGs too much, but the original Shining Force was the 1st RPG to get me, and I just love the series. If RPGs and turn-based strategy games is your cup of tea, go for it.