I'm another fan of Double Dragon Advance. I gave it a 9 when I wrote for Game Informer, and still love it to this day. It's twice as long as the original, with some new levels giving the nod to The Matrix. You can even play two-player by yourself, alternating between characters. It's crazy.
Honestly, I didn't get into Ninja 5-0 as much as I hoped I would. Not sure why; it's good, but not awesome.
I agree with Follandboy that Fire Pro Wrestling is a great series. It's got deep gameplay and tons of characters.
For my own picks, I'll go with:
Sigma Star Saga - the only shmup/RPG hybrid I know of. Not the best of both worlds, but still goes well together.
Shining Force - I thought it'd be a generic port that didn't stand the test of time, but lo and behold I put a good 60+ hours into it.
The Blizzard Classics - Both Blackthorne and Rock & Roll Racing were awesome on consoles, and still rock on GBA.
Kuru Kuru Kururin - Had to go all import for this one. It's a crazy puzzle game where you play a rotating stick going through a maze. More info
here, though I own the in-English European release.