I just got a PC Engine Duo-R (that doesn't play CD-ROM2s, but I don't want to talk about that right now), and it's got me thinking that there are some systems that just didn't reach their full potential in America. Some you just need to import games for. These are the consoles that require modding or buying the Japanese version of to get the best experience. The list is in chronological order of release.
Nintendo Entertainment System/Famicom
Still my favorite system after all these years, when I started importing Famicom games about five years ago, I opened up a whole new world. Sure, the big time classics came to the US, Contra, Mega Man, all that stuff, but Japan saw a lot of games we didn't. A lot of great stuff we didn't. There are plenty of decent-ish Famiclones available that allow for import play, so getting started isn't too hard, though I do want a Twin Famicom someday. Favorite imports off the top of my head would be Splatterhouse: Wanpaku Graffiti, Gradius II (though it's tough as nails) and New Ghostbusters 2.
Especially with the Wii's Virtual Console, I can't imagine anyone having a real desire to own an American Turbografx at this point, unless you're a collector. If you just want to play games, most of the standout American releases are available on VC (and a couple Japanese ones, too).
The Turbografx was a distant third place competitor of the Genesis and SNES. The PC Engine blew away the Genesis (Mega Drive) in Japan, and it's not hard to see why. The PC Engine has a giant and great library. It's like I've just opened an entire new chapter of gaming history to myself. Favorites include the formative years of the Fire Pro Wrestling series and any Konami arcade ports you can get your hands on. Of course, Dracula X: Rondo of Blood is up there, but it's about $100 cheaper on VC than getting a disc copy. Check out the PC Engine Software Bible for more info.
Sega of America apparently decided they didn't want to use the Genesis' momentum at all, and that they'd totally shoot themselves in the foot on the Saturn. Great US releases are somewhat rare, and copies of said releases are often even rarer still. Just look at the latest eBay auction prices for a US copy of Guardian Heroes vs. a Japanese one. Go ahead. I'll wait. See what I mean?
Forget about that for a minute though, and just check all the games that never even made it here. Deep Fear, All-Japan Pro Wrestling featuring Virtua, tons of shooters, it's all great stuff, and it's the reason the system did so, so much better in Japan.
Sega redeemed themselves in America with the Dreamcast, but it was too little, too late, and the system died too soon in both territories. Of course, before it did (and after, now that I think about it), there were many awesome games that didn't make the trans-Pacific journey. Giant Gram (notice how many wrestling games I'm mentioning?), Shenmue II (if you're into that and don't have an Xbox) and many shooters released after the system "died" make for an importer's paradise.
I have two words for you. Sega Ages. M2 has handled several of Sega's classic franchises with the kind of love and care that nerds like me love to see. These are packages of entire series, every version (every region and system), displayed in the original resolution with box art and instructions. These alone are worth finding a way to import for your PS2 (I recommend a soft mod, they're affordable and easy, but Japanese PS2s are pretty affordable these days). Not to mention the crazy amount of other games available. Besides most of the latter Sega Ages titles, I highly recommend King of Colosseum 2 (had to get my grappler in there).
Hardcore Gaming 101's Post-Mortem Dreamcast Shooters article
Hardcore Gaming 101's Sega Ages article
The PC Engine Software Bible