Policenaughts - I know there is an English fan translation, but in order to legally play it you have to have like a Japanese import copy of the game.
Grim Fandango/Day of the Tentacle/Full Throttle - basically all of the classic Tim Schafer point and click adventures. I know Grim Fandango hasn't been released digitally, but I'm not sure about Full Throttle or Day of the Tentacle.
Dragon Force - Ironically, this is one of the games I bought a Saturn for, but I never got around to buying it since I was a broke kid back then.
Planescape Torment - I know this is on GOG, but I've never gotten around to picking it up.
Baldurs Gate I&II - Same as above, but I'm waiting for the enhanced editions. I know BG1:EE has already released, but I still need to pick it up. (Also, I don't have that much time these days to play really long RPGS).
Panzer Dragoon Saga - I'm pretty sure they were selling this game out of the back of a Sega employee's trunk it had such a limited print run. I don't think I ever saw a copy in the wild.
SEGA Ages - I've always wanted to play those Sega Ages PS2 remakes of the Phantasy Star games, but they never released over here.