atari2600land

You're starting with a good one!

Really depends on what kind of money you have to spend (sadly; a lot of the top shelf games are spendy). Rally is a good place to start... Maybe look at getting

Daytona USA (any version, but the updated Circuit edition is a little better)

Fighters Megamix if you like polygonal fighters (and it's better than Virtua Fighter 2)

Clockwork Knight if you dig platformers

Panzer Dragoon

Depending on how you feel about fighting games, there are tons of Capcom arcade ports and most of them aren't break the bank expensive

If you have it hooked up to a CRT, get Virtua Cop 1 and 2 and House of the Dead

The Saturn is a killer shump machine, but most of the great ones are REALLY expensive.

My personal recommendations are Clockwork Knight, Bug!, Nights Into Dreams & Sonic 3D Blast