The Amiga version of Desert Strike is indeed better (or at least graphically and aurally superior) than the Mega Drive version (I haven't played the SNES one to be honest). The Mega Drive version had a total of 32 colours onscreen during gameplay, 16 for the backgrounds and 16(15+transparency) for the sprites. The Amiga version is in EHB 64 colour mode, and while the majority of the graphics look the same, you actually get real shadows instead of black dithered pixels, and all the menu screens, title screen and intro are vastly improved over the MD version.
The SNES version of Out To Lunch is much more colourful than the Amiga version. The Amiga/CD32 version uses Dual Playfield mode which limits it to two planes of 16 colours, similar to the Mega Drive. The SNES isn't limited to 16 colours per playfield, and so the background, forground and character graphics in the SNES version all used many more colours than the Amiga version, making them look smoother and more colourful.
The Amiga's sprite and tiling capabilities are kind of poor compared to the MegaDrive, SNES and NeoGeo, however it has the Blitter and Copper which do much of the same work, but in a different way. Most Amiga games use BOBs (Blitter Objects) rather than Sprites, because OCS sprites are limited to 3 colours (like the mouse pointer) and only 16 pixels wide, unless you combine them. AGA sprites are limited to 15 colours and can be 32 pixels wide on a 320-wide screen, and 64 pixels wide on a 256-wide screen. Amiga sprites can be as tall as they want, which is one nifty thing, there seems to be no vertical limit other than the screen size.
You can compile your own bootable CDs with A500 and A1200 games on them to play on your CD32 without the need for any expansions. This might involve having to set up UAE and learning how to use MakeCD in Workbench, but once you have it figured out it doesn't take long to make your own bootable game CDs by using WHDLoad-installed games and a custom Startup-Sequence. Getting an SX-1 or SX32 would still help out a lot, but you don't really need them if you only plan on playing Exile and other A500 games. Have a look on some Torrent websites for some pre-made CD32 compilation discs, which contain hundreds of classic Amiga games selectable from a menu.