I usually prefer to play Master System versions when given the option (Sonic, Mickey) but the GG Shinobi games, Aleste games, Royal Stone, Fatal Fury Special, Galaga '91, Devilish, Soukoban World, Shining Force, Chuck Rock II, Puyo Puyo, are all great.
There are some advantages to the Game Boy and Lynx. The Game Gear doesn't have as many exclusive great games/versions as those when factoring in the SMS but it stood out for having a few "best portable game in its genre" moments for me: the Shinobi games for action platformers, Power Strike II/Aleste II for shooters, Gunstar Heroes for run 'n guns (Operation C on GB is close), Shining Force for strategy games in English, Fatal Fury for fighters, Devilish for ball and paddle.
And some stuff may have lost some significance but were notable for being unique at the time such as Crystal Warriors being one of very few Japanese-style SRPGs on the Western market at all and Dragon Crystal being a portable rogue-like.