HeDanny: I loved my MegaDrive. Had some of my favorite games of the generation on there. It even had that "better" version of Gain Ground that was not better (in fact, it was kinda not as good) but it was prettier. Also Eccho the Dolphin. Loves those games atthe time.
They are up to Volume 5 now I think with the collections, but I think you can get the games individually on DD places like GG, Steam etc can't you? They are like $3 or something. I'd totally get them if my backlog was not so depressing and I was pretty sure I'd never get back to playing them. :(
Crosmando: I'd recommend getting the "complete" pack on steam, has all the games in one package.
Also Shining Force is good
not too happy with the collection on steam , they have ripped it apart totally , the emulator is barebones and does not support any online features , saving is crude and broken in games like shining force 2 .
if you have a console instead i would recommend getting , the sonic ultimate genesis collection
http://www.amazon.com/Sonic-Ultimate-Genesis-Collection-Playstation-3/dp/B001G33V8S/ref=pd_sim_vg_8 i have it on ps3 and its awesome, hd support, instant save , trophies , online vs,co-op , local as well