sengoku denshou 2001/sengoku 3 is the best and deepest beat em up of all time. unfortunately it had no home port beyond the neo geo so unless you're okay with MAME it's probably too pricey to be worth it.
edit: i stand corrected! apparently it came out on wii VC. no excuses now!
alien vs predator and d&d shadow over mystara are close behind. avp never had a port to anything (MAME away!) and mystara was on saturn and psn/xbla/steam, but the japanese ps3 retail version in august looks like it'll be the one to get if you can wait.
otherwise you cant go wrong with final fight in any of it's forms, bare knuckle/streets of rage 1/2/3, guardian heroes, panzer bandit, turtles in time, the kunio-kun series (river city ransom, etc) which has the most recent game kunio-kun sp brawl concerto on 3DS this year, and dragon's crown (soon!). there's a whole world of awesome.