(I apologize in advance for how long this response is. I tried to break up the text blocks using images. Hope it helps!

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SEGA stuff is fun! The company has a long and storied history of games, both first and third party, that are quirky and enjoyable! Every system they made has a wildly different vibe from one another, so there’s tons of variety, and you’re bound to find something you’ll love eventually! While SEGA themselves do a poor job at marketing and preserving their legacy to be exciting for a younger generation, that doesn’t mean we as fans can’t do it ourselves!
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I highly recommend the PicoDrive emulator as a starting point. SEGA had, for its first several systems, a standard hardware set that they kept building on. What that means is that PicoDrive can emulate SG-1000, SEGA Mark III, Master System, Mega Drive/Genesis, Game Gear, SEGA CD/Mega CD, and 32X.
I’ll now recommend a game for each of those systems.
SG-1000: Girls Garden and Black Onyx
SEGA Mark III: Fantasy Zone and Kenseiden
Master System: Phantasy Star and Sonic The Hedgehog (8-bit)
Mega Drive: Phantasy Star IV: End of the Millennium and Sonic 3
SEGA CD: Robo Aleste and Snatcher
SEGA 32X: AfterBurner Complete and Virtua Fighter
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The Saturn is best emulated via Mednafen, so I’ve heard. When you can, if you can, experiment with Panzer Dragoon Saga and SEGA Rally.
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Dreamcast seems to be the thing you’re most knowledgeable of emulating, so I can be more lax. All the titles you listed are awesome, and should make for good times! Shenmue in particular, if you accept that it’s more of a life simulator with a time management element rather than a modern-style open world game, will give you a great journey you won’t soon forget. Plus, it has an arcade for you to experiment with playing Hang On and Space Harrier, which is why I didn’t recommend any arcade games!
That said, for your Dreamcast journey, I have to recommend SEGA Marine Fishing, for its incredible vibes and the fact you can
FISH UP A WHOLE ASS SHARK and SeaMan, because it can be another longer game that’s a unique pet sim where the pet can have intellectual conversations with you!
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On top of all these that I just said, I have a number of games on SEGA systems that I just have to throw out there as amazing must plays. These are in all sorts of genres and they’re not necessarily in order, so have at it!
- Shinobi 3
- Daytona USA
- PowerSlave/Exhumed
- Virtua Tennis (any entry)
- Virtua Fighter 2, 3, 4, 5 (the whole series is a banger
- Shining Force (the whole series. All of them are goated)
- NiGHTS Into Dreams
- Cristmas NiGHTS
- Panzer Dragoon (every game is awesome)
- Sonic Adventure 1&2
- House of the Dead (every. single. one.)
- Virtual On (both entries)
- Ristar
- VectorMan (both games are pretty good)
- Castle of Illusion (both the 8 and 16 bit games are awesome platformers. No joke.)
- Galaxy Force
- Outrun
- Outrun 2
- Power Drift
- Crazy Taxi
- Crazy Taxi 3
- Arabian Fight
- Golden Axe
- Golden Axe 2
- Golden Axe: The Revenge of Death Adder
- Fighters Megamix
- Comix Zone
- Sakura Wars (all games. Need English patches though. Worth it.)
- Astal
- Alex Kidd in Shinobi World
- Tempo
- Sonic CD
- Yakuza (ALL OF THEM. EVERY LAST ONE!)
- etc., etc., etc…
Seriously, I can go on and on forever. SEGA is not a bastion of guaranteed quality, no, but their run as a game maker has been home to TONS of SEGA games that are amazing.
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