Shadow Fighter's good, as is Roadkill, as is Fire & Ice, but the one game that made me glad I had a CD32 was Guardian (3D Defender with funky CD soundtrack).
There are a couple of CD32 Sensible Soccers, but they're pre-SWOS and a bit small scale. Still enjoyable, of course. I also remember enjoying PGA European Tour, too (golf with cute presentation).
Sadly, not many games pushed the CD32 or made particularly good use of its CD/FMV capabilities. Speedball 2 felt noticeably more flashy on it, so maybe give that a try.