If you are a Taito fan, then pick up Taito Memories II Gekan (Vol. 2) immediately!
( * = Game is also on Taito Legends 1 or 2 for PS2 )
Sea Fighter Poseidon
Metal Soldier Issac II
Riku Kai Ku Saisenzen
Rainbow Island Extra
Master of Weapon
Warrior Blade: The Rastan Saga Episode III
This is a great compilation because there are 18 games that haven't been released outside of Japan on disc, many of which are quite good like standouts Chase H.Q., Night Striker, and Haley's Comet.
If you already have Taito Legends 1 and 2, this is still very much worth picking up and I highly recommend it!