I'm using an emulator... I don't think I am rich enough to buy a Sega Genesis and games.... so price isn't a worry.
Ah well then. I use coolrom.com for emulators and roms.
There's also Bare Knuckle (it's Streets of Rage, but there are things that are different to streets of rage. Bare Knuckle III is a bit easier than SOR3. There's a 'boss' in Bare Knuckle III that isn't included in SOR3, Blaze's outfit is a different color. But the main thing is the difference between difficulty)
Castlevania Bloodlines (I love it, there are things in Bloodlines that aren't in the EU versions...blood dripping from ceilings etc)
Golden Axe
Some people rate Phantasy Star (not my kind of thing)
Toejam and Earl (I haven't played it, but it's on Xbox Live)
Street fighter (if you're into that kind of thing)
Comix Zone
Decap Attack
Ecco the Dolphin (if you like to pretend to be a porpoise and eat tuna)
Ghostbusters
Flicky
Sonic and Knuckles
James Pond: Robocod
Columns
Dr. Robotnik's Mean Bean Machine
Space Harrier
Super Hang-on
Zool
After Burner