The Rub Rabbits!(DS): The much improved sequel to Feel the Magic: XY/XX. It doesn't get mentioned very much, but its so packed full of personality and fun. Classic SEGA.
Dynamite Cop!(Dreamcast): A 3D beat-em-up, where you can use everything from a giant fish to a cannon as a weapon. Over the top and hilarious in every way. Very fun to play through with a friend.
Zombie Revenge(Dreamcast): I haven't seen this House of the Dead spinoff get much attention. It's a 3rd person beat-em-up like Dynamite Cop, but with a lot more shooting. The voice acting is also ridiculouly bad, and all the more fantastic because of it.
Ghost Squad(Arcade/Wii) and Confidential Mission(Arcade/Dreamcast): Two light gun games that are really good, but don't quite get the attention of a Virtua Cop/House of the Dead.
Cosmic Smash(Arcade/Dreamcast): Rez meets Breakout meets that frisbee duel in Tron Legacy. Solid arcade action, but really difficult to get ahold of.
Valkyria Chronicles II(PSP): Well known, but definitely underrated. The upgrades to the character classes, and the ability to fight on multiple fronts added a ton of strategy to an already amazing original game. Some were turned off by the fact that the story takes place in a military academy, but they do a really good job of exploring the fall out of the big reveals in the first title. Civil war and racial tensions abound. A lot of people didn't give it a chance because of the fact that it was on PSP, but it's a definite must play for any SEGA fan.
A few more slightly below the radar games that were a bit more below the radar, but have been talked about quite a bit are: The Typing of the Dead, Chu Chu Rocket!, Rez, and Space Channel 5: Part 2. All fantastic games.
I haven't had a chance to play Sakura Wars: So Long, My Love yet, but I've heard it's also really good.