I would check out the Saturn version of Policenauts if you like visual novels (the saturn version is basically the best version of the game)
I would half-heartedly recommend Sakura Wars as well. It's an interesting game, but the plot is pretty generic, and the combat is also pretty generic. Like, if you buy into it, then it's super cool, but if you don't, then it's super mediocre.
Oh, but my favorite game on the console is Sega Rally Championship (get the netlink edition for a better experience). That is a game you can replay over and over again and never get tired of.