The console I spent the most money on! (Although the Amiga was the most time, he he he). So good games? *looks at rom list* Well, I can personally give my seal of approval to;
Alex Kidd In Miracle World
Choplifter (more a personal choice that though)
Gauntlet (excellent conversion!)
Power Strike (damned hard shoot 'em up, but I was so proud when I beat it without cheating! Getting old and rusty now though... get off my lawn you kids!)
Spy Vs Spy (but only with two human players... My brother still laughs to this day in memory of the time where he chased me across half the map, a single screen behind as I legged it with all the items for the airport, only for me to fall prey to a booby trapped door he'd left on the door into the room, after which he grabbed the stuff and ran the last inch to freedom and victory... Grrr!
Thunderblade (not that fun to play, but impressive conversion)
Time Soldiers (crap arcade, fun SMS version)
Ultima IV (Oh god yes! Truly one of the most incredible RPG games ideas ever; the plot is more or less incidental to your exploration of Brittania, and more importantly, your development of in game virtues... Then watch years later as your romantic medieval dreams crash around your ears after trying Ultima Online and getting killed, looted, and l33t sp34k'd at by a hormonal teenager in a skull mask)
Y's: The Vanished Omens.
Admittedly, a lot of those are conversions from other systems, but that just proves the point someone else made earlier... the SMS was a very competent machine for it's time. I'm not going to make a comparison to the NES though; I never owned one, and besides, if it gave you some measure of joy, then it's a worthy machine by the only measure that matters. But it was possible to gain such fond memories on the SMS too... and many of us did, no matter how poorly it sold over all. And perhaps some of you still can... Certainly, at some point I intend to try some of the old NES classics, just like I am occasionally doing with the SNES emulator, and the Amiga games I never owned... Life's too short for partisan bickering... Give me all the pleasures you've got to offer, oh world of gaming!