This brings back memories...I was a HUGE Goemon fan, actually ran a website that had the goemon.com domain called The Mystical Website of Goemon. If you go to GameFAQs, you'll see that I wrote quite a few FAQs under the name "The Mystic Ninja" for alot of the obscure JP only games. In my opinion, the ones you really need to play, if possible, are:
Ganbare Goemon 3: Shishijūrokubē no Karakuri Manji Gatame (SNES)
Ganbare Goemon: Uchū Kaizoku Akogingu (PS1)
Ganbare Goemon: Ōedo Daikaiten (PS1)
The N64 ones were excellent as well. I never played the PS2 and DS games.
Ganbare Goemon 3: Shishijūrokubē no Karakuri Manji Gatame (SNES)
Ganbare Goemon: Uchū Kaizoku Akogingu (PS1)
Ganbare Goemon: Ōedo Daikaiten (PS1)
The N64 ones were excellent as well. I never played the PS2 and DS games.